Dear All,   Please forgive my ignorance, but lately I have become a bit confused.    I have a panel data across 19 locations and variables running across these locations for 10 years, and I want to run a vector autoregression in a panel framework.   Most of the literature I read, made reference to using Dynamic Panel regression using the dependent variable with lags, as the same as a PVAR analysis. I know with such a short time series (10 years) it quite tough to get meaningful Var results. So, does the Dynamic Panel regression (with dependent variable lag) amounts to Panel Var analysis? Kindly advise Ali.I.Gambo   ....Education is our passport to the future, for tomorrow belongs to those who prepare for it.......Malcolm X.