[R-SIG-Finance] Vector Autoregression on Panel Data

[Eric Zivot]

A VAR on panel data is probably one where you want to have a error
components representation for the error term. That is, the usual error e(it)
is broken into an unobserved individual fixed effect a(i) and an
idiosyncratic term n(i,t). My guess is that a VAR with panel data is
essentially a dynamic panel data model (see the plm package). The error
components structure means that you have to use some technique to deal with
the endogeneity created by having lagged dependent variables with an error
components structure. For example, you could use the Arellano-Bond type GMM
estimator.
Thoughts?
ez

-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Paul Teetor
Sent: Thursday, March 31, 2011 11:39 AM
To: Herbert Julius Garonfolo; r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Vector Autoregression on Panel Data

Herbert,

(1) Did you try searching at http://www.rseek.org? When I searched on
"vector 
autoregression", it returned hundreds of results.

(2) What is the difference between VAR on panel data versus VAR on
multivariate 
time series? I apologize if this is a stupid question, but I don't
understand 
the difference. The task view page for Time Series Analysis 
(http://cran.r-project.org/web/views/TimeSeries.html) lists several packages
for 
multivariate time series analysis.

HTH,
Paul


 
Paul Teetor, Elgin, IL  USA
http://quanttrader.info/public



----- Original Message ----
From: Herbert Julius Garonfolo <hgaronfolo at gmail.com>
To: r-sig-finance at r-project.org
Sent: Thu, March 31, 2011 9:52:18 AM
Subject: [R-SIG-Finance] Vector Autoregression on Panel Data

Hi

I would like to do a Vector Autoregression model on panel data. Is this
possible in R? and are there any built in functionality to perform this kind
of model?

Thank you very much for your time.

Herbert

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