Panel vector autoregression modelgeneralized method of momentsfirst difference and system GMMThis paper considers two types of generalized method of moments (GMM) estimators for panel vector autoregression models (PVAR) with fixed individual effects. First, the first difference GMM estimator is implemented...
Obtain moment- and model-selection criteria Perform stability testsWith the new xtvar command, you can now fit a panel-data vector autoregressive (VAR) model to analyze the trajectories of related variables when you observe multiple units or panels over time. This command is part of StataNow™...
capital structure (CS), and firm performance (FP) of companies listed on the Stock Exchange of Mauritius from 2009 to 2019 along with a comparison between financial and non-financial firms. A panel vector autoregression (PVAR) approach is used in this study to determine the relationship...
Panel vector autoregression (VAR) models have been increasingly used in applied research. While programs specifically designed to estimate time-series VAR models are often included as standard features in most statistical packages, panel VAR model estimation and inference are often implemented with general...
Abstract: This paper considers estimation and testing of vectorautoregressioncoefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages and hours worked in two samples of American males. The model allows for nonstationary individual effects, and is estimated...
Abstract: This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages and hours worked in two samples of American males. The model allows for nonstationary individual effects, and is estima...
to-date econometric methods are used, including panel unit root and cointegration tests, as well as panel vector autoregression (PVAR) model to examine the relevant relationships (Pesaran and 2004, 2007; Pedroni, 1999; Kao, 1999; Westerlund, 2007; Bun and Kiviet, 2006; Holtz-Eakin et al.,...
The relationship between competition, efficiency and stability was tested by state-of-the-art Panel Vector autoregression and Granger Causality Analysis. The results of the study indicated that competition will reduce the level of banking efficiency as well as banking stability, whereas efficiency has ...
Thus Panel Vector Autoregression (PVAR) Model was estimated among the variables. The present study is distinguished from previous studies by investigation of long term relationship between also The BFCIUS, exchange rate. Data base is containing from the exchange rate index, international reserve index...
Abrigo MR, Love I (2016) Estimation of panel vector autoregression in Stata. Stand Genomic Sci 16(3):778–804 Google Scholar Aroul RR, Sabherwal S, Villupuram SV (2022) ESG, operational efficiency and operational performance: evidence from Real Estate Investment Trusts. Manag Financ 48(8):...