{ "_id": "6a1f0806b401979e7341c023", "Package": "panelvar", "Type": "Package", "Title": "Panel Vector Autoregression", "Version": "0.5.6", "Authors@R": "c(\nperson(\"Michael\", \"Sigmund\", , \"michael.sigmund@oenb.at\", \"aut\"),\nperson(\"Robert\", \"Ferstl\", , \"robert.ferstl@ur.de\", c(\"aut\", \"cre\"))\n)", "Description": "We extend two general methods of moment estimators to\npanel vector autoregression models (PVAR) with p lags of\nendogenous variables, predetermined and strictly exogenous\nvariables. This general PVAR model contains the first\ndifference GMM estimator by Holtz-Eakin et al. (1988)\n, Arellano and Bond (1991)\n and the system GMM estimator by Blundell\nand Bond (1998) . We also\nprovide specification tests (Hansen overidentification test,\nlag selection criterion and stability test of the PVAR\npolynomial) and classical structural analysis for PVAR models\nsuch as orthogonal and generalized impulse response functions,\nbootstrapped confidence intervals for impulse response analysis\nand forecast error variance decompositions.", "License": "GPL (>= 2)", "LazyData": "TRUE", "Encoding": "UTF-8", "RoxygenNote": "7.3.2", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-18 06:37:15 UTC", "User": "root" }, "Author": "Michael Sigmund [aut], Robert Ferstl [aut, cre]", "Maintainer": "Robert Ferstl ", "Config/pak/sysreqs": "texlive libicu-dev libssl-dev", "Repository": "https://datarob.r-universe.dev", "Date/Publication": "2024-11-25 14:30:02 UTC", "RemoteUrl": "https://github.com/cran/panelvar", "RemoteRef": "HEAD", "RemoteSha": "5e7b205f8ceb5d49b6dcaed902d1d6170f310f71", "MD5sum": "3f01dfd9013f6fc76005d9df8a16e43f", "_user": "datarob", "_type": "src", 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"version": ">= 3.5", "role": "Depends" }, { "package": "knitr", "role": "Imports" }, { "package": "MASS", "role": "Imports" }, { "package": "Matrix", "version": ">= 1.2-11", "role": "Imports" }, { "package": "progress", "role": "Imports" }, { "package": "matrixcalc", "role": "Imports" }, { "package": "texreg", "role": "Imports" }, { "package": "ggplot2", "role": "Imports" }, { "package": "reshape2", "role": "Imports" }, { "package": "rmarkdown", "role": "Suggests" } ], "_owner": "cran", "_selfowned": true, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 10, "_contributors": [ { "user": "datarob", "count": 6, "uuid": 2943466 } ], "_userbio": { "uuid": 2943466, "type": "user", "name": "Robert Ferstl" }, "_downloads": { "count": 1077, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/panelvar" }, "_mentions": 1, "_searchresults": 79, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", 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"table": true, "tojson": true }, { "name": "Cigar", "title": "Cigar data", "object": "Cigar", "class": [ "data.frame" ], "fields": [ "state", "year", "price", "pop", "pop16", "cpi", "ndi", "sales", "pimin", "log_price", "log_pop", "log_pop16", "log_cpi", "log_ndi", "log_sales", "log_pimin" ], "rows": 1380, "table": true, "tojson": true }, { "name": "Dahlberg", "title": "Swedish municipalities data", "object": "Dahlberg", "class": [ "data.frame" ], "fields": [ "id", "year", "expenditures", "revenues", "grants" ], "rows": 2385, "table": true, "tojson": true }, { "name": "ex1_dahlberg_data", "title": "Dahlberg results example 1", "object": "ex1_dahlberg_data", "class": [ "pvargmm" ], "fields": [], "table": false, "tojson": false }, { "name": "ex1_dahlberg_data_bs", "title": "Dahlberg bootstrap results example 1", "object": "ex1_dahlberg_data_bs", "class": [ "list" ], "fields": [], "table": false, "tojson": true }, { "name": "ex2_nlswork2_data_bs", "title": "NLS Work 2 bootstrap results 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Bands", "topics": [ "bootstrap_irf", "bootstrap_irf.pvarfeols", "bootstrap_irf.pvargmm" ] }, { "page": "Cigar", "title": "Cigar data", "topics": [ "Cigar" ] }, { "page": "coef.pvarfeols", "title": "Extract PVARFEOLS(p) Model Coefficients", "topics": [ "coef.pvarfeols" ] }, { "page": "coef.pvargmm", "title": "Extract PVAR(p) Model Coefficients", "topics": [ "coef.pvargmm" ] }, { "page": "coef.pvarhk", "title": "Extract PVARHK(p) Model Coefficients", "topics": [ "coef.pvarhk" ] }, { "page": "Dahlberg", "title": "Swedish municipalities data", "topics": [ "Dahlberg" ] }, { "page": "ex1_dahlberg_data", "title": "Dahlberg results example 1", "topics": [ "ex1_dahlberg_data" ] }, { "page": "ex1_dahlberg_data_bs", "title": "Dahlberg bootstrap results example 1", "topics": [ "ex1_dahlberg_data_bs" ] }, { "page": "ex2_nlswork2_data_bs", "title": "NLS Work 2 bootstrap results example 2", "topics": [ "ex2_nlswork2_data_bs" ] }, { "page": "ex3_abdata", "title": "Example results for Employment UK data", "topics": [ "ex3_abdata" ] }, { "page": "extract", "title": "Extract Coefficients and GOF Measures from a Statistical Object", "topics": [ "extract", "extract.pvarfeols", "extract.pvargmm", "extract.pvarhk" ] }, { "page": "fevd_orthogonal", "title": "Forcast Error Variance Decomposition for PVAR", "topics": [ "fevd_orthogonal", "fevd_orthogonal.pvarfeols", "fevd_orthogonal.pvargmm" ] }, { "page": "fixedeffects", "title": "Extracting Fixed Effects", "topics": [ "fixedeffects", "fixedeffects.pvargmm" ] }, { "page": "girf", "title": "Generalized Impulse Response Function", "topics": [ "girf", "girf.pvargmm" ] }, { "page": "hansen_j_test", "title": "Sargan-Hansen-J-Test for Overidentification", "topics": [ "hansen_j_test", "hansen_j_test.pvargmm" ] }, { "page": "knit_print.pvarfeols", "title": "Knit Print Method for pvarfeols", "topics": [ "knit_print.pvarfeols" ] }, { "page": "knit_print.pvargmm", "title": "Knit Print Method for pvargmm", "topics": [ "knit_print.pvargmm" ] }, { 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] }, { "page": "print.pvarhk", "title": "S3 Print Method for pvarhk", "topics": [ "print.pvarhk" ] }, { "page": "print.pvarstability", "title": "S3 print method for pvarstability object", "topics": [ "print.pvarstability" ] }, { "page": "print.summary.pvarfeols", "title": "S3 Print Method for summary.pvarfeols", "topics": [ "print.summary.pvarfeols" ] }, { "page": "print.summary.pvargmm", "title": "S3 Print Method for summary.pvargmm", "topics": [ "print.summary.pvargmm" ] }, { "page": "print.summary.pvarhk", "title": "S3 Print Method for summary.pvarhk", "topics": [ "print.summary.pvarhk" ] }, { "page": "pvalue", "title": "P-value S3 Method", "topics": [ "pvalue", "pvalue.pvarfeols", "pvalue.pvargmm", "pvalue.pvarhk" ] }, { "page": "pvarfeols", "title": "Fixed Effects Estimator for PVAR Model", "topics": [ "pvarfeols" ] }, { "page": "pvargmm", "title": "GMM Estimation of Panel VAR Models", "topics": [ "pvargmm" ] }, { "page": "pvarhk", "title": "Hahn Kuehrsteiner Estimator for PVAR 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