panelvar (version 0.5.6)

pvarfeols: Fixed Effects Estimator for PVAR Model

Description

This function estimates a stationary PVAR with fixed effects.

Usage

pvarfeols(
  dependent_vars,
  lags,
  exog_vars,
  transformation = c("demean"),
  data,
  panel_identifier = c(1, 2)
)

Arguments

dependent_vars

Dependent variables

lags

Number of lags of dependent variables

exog_vars

Exogenous variables

transformation

Demeaning "demean"

data

Data set

panel_identifier

Vector of panel identifiers

Examples

data(Cigar)
ex1_feols <-
pvarfeols(dependent_vars = c("log_sales", "log_price"),
          lags = 1,
          exog_vars = c("cpi"),
          transformation = "demean",
          data = Cigar,
          panel_identifier= c("state", "year"))
          
summary(ex1_feols)