Andrews_Lu_MMSC

Andrews_Lu_MMSC.pvargmm

We extend two general methods of moment estimators to panel vector
autoregression models (PVAR) with p lags of endogenous variables, predetermined
and strictly exogenous variables. This general PVAR model contains the first
difference GMM estimator by Holtz-Eakin et al. (1988) <doi:10.2307/1913103>,
Arellano and Bond (1991) <doi:10.2307/2297968> and the system GMM estimator
by Blundell and Bond (1998) <doi:10.1016/S0304-4076(98)00009-8>. We also
provide specification tests (Hansen overidentification test, lag selection
criterion and stability test of the PVAR polynomial) and classical structural
analysis for PVAR models such as orthogonal and generalized impulse response
functions, bootstrapped confidence intervals for impulse response analysis and
forecast error variance decompositions.

Robert Ferstl

panelvar

Panel Vector Autoregression

Michael Sigmund

Andrews_Lu_MMSC function

<dl><dt>model</dt>
<dd>A PVAR model</dd>
<dt>HQ_criterion</dt>
<dd>Hannan Quinn criterion</dd></dl>

Arguments

Andrews Lu MMSC Criteria based on Hansen-J-Statistic — Andrews_Lu_MMSC

<dl>

<dt>model</dt>
<dd>A PVAR model</dd>


<dt>HQ_criterion</dt>
<dd>Hannan Quinn criterion</dd>

</dl>

Andrews_Lu_MMSC: Andrews Lu MMSC Criteria based on Hansen-J-Statistic

Description

Usage

Value

Arguments

References

Examples