Re: [Gretl-users] Var with Panel Data
On Wed, 18 Apr 2012, Alessandro Noè Bossi wrote:
Dear Gretl users,
Do anyone know how to run a VAR analysis with Panel Data. I have a
panel of 8 countries with 5 variables for 20 observations each.
Thank you very much in advance.
In principle, you could estimate each equation (one per variable) via some
dynamic panel technique by using the dpanel command. IMHO, your dataset is
WAY too small to even attempt anything like that, but technically you're
not infringing any law and the econometrics police will not storm your
house and arrest you in the middle of the night.
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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