Hahn Kuehrsteiner Estimator for PVAR Model
This function estimates a stationary PVAR with fixed effects.
pvarhk(
dependent_vars,
exog_vars,
transformation = c("demean"),
data,
panel_identifier = c(1, 2)
)dependent_vars |
Dependent variables |
exog_vars |
Exogenous variables |
transformation |
Demeaning |
data |
Data set |
panel_identifier |
Vector of panel identifiers |
Hahn J., Kuehrsteiner G. (2002) Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T Are Large, Econometrica, 70(4), 1639–1657
data(Dahlberg)
ex1_hk <-
pvarhk(dependent_vars = c("expenditures", "revenues", "grants"),
transformation = "demean",
data = Dahlberg,
panel_identifier= c("id", "year"))
summary(ex1_hk)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.