Logo
Munich Personal RePEc Archive

The panel conditionally homogenous vectorautoregressive model

Georgiadis, Georgios (2012): The panel conditionally homogenous vectorautoregressive model.

[thumbnail of MPRA_paper_37755.pdf]
Preview
PDF
MPRA_paper_37755.pdf

Download (1MB) | Preview

Abstract

In the panel conditionally homogenous vectorautoregressive model, the cross-sectional units' dynamics are generally heterogenous, but homogenous if units share the same structural characteristics. The panel conditionally homogenous vectorautoregressive model thus allows (i) to account for heterogeneity in dynamic panel data sets, (ii) to nevertheless exploit the panel nature of the data, and (iii) to analyze the relationship between the units' observed heterogeneities and structural characteristics. I show how standard least squares estimation can be applied, how impulse responses can be computed, how multivariate conditioning is implemented, and how polynomial order restrictions can be incorporated. Finally, I present an easy-to-use Matlab routine which can be used to estimate the panel conditionally homogenous vectorautoregressive model and produce impulse responses as well as forecast error variance decompositions.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.