I am working on vector auto-regression (VARs) and impulse response function (IRFs) estimation based on panel data with 33 individuals over 77 quarters. How should this type of situation be analyzed? What algorithm's exist for this purpose? I would prefer to conduct these analyses in R, so if anyone is familiar with R code or a package designed for this purpose that they could suggest, that would be especially helpful.
Econometrics – How to Estimate Vector Autoregression and Impulse Response Function with Panel Data?
econometricsimpulse responsepanel datarvector-autoregression
Best Answer
https://www.researchgate.net/publication/312165764_Panel_Vector_Autoregression_in_R_The_panelvar_Package
Here you will find the R-package and the link to the paper.