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# CITATION file created with {cffr} R package
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cff-version: 1.2.0
message: 'To cite package "panelvar" in publications use:'
type: software
license: GPL-2.0-or-later
title: 'panelvar: Panel Vector Autoregression'
version: 0.5.5
doi: 10.1016/j.qref.2019.01.001
identifiers:
- type: doi
  value: 10.32614/CRAN.package.panelvar
abstract: 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) <https://doi.org/10.2307/1913103>, Arellano and Bond (1991)
  <https://doi.org/10.2307/2297968> and the system GMM estimator by Blundell and Bond
  (1998) <https://doi.org/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.
authors:
- family-names: Sigmund
  given-names: Michael
  email: michael.sigmund@oenb.at
- family-names: Ferstl
  given-names: Robert
  email: robert.ferstl@ur.de
preferred-citation:
  type: article
  title: Panel Vector Autoregression in R with the package panelvar
  authors:
  - family-names: Sigmund
    given-names: Michael
    email: michael.sigmund@oenb.at
  - family-names: Ferstl
    given-names: Robert
    email: robert.ferstl@ur.de
  journal: The Quarterly Review of Economics and Finance
  year: '2021'
  doi: 10.1016/j.qref.2019.01.001
repository: https://datarob.r-universe.dev
commit: fc1f301a808220594b9b7ce7edecb0beaea05f72
date-released: '2023-01-05'
contact:
- family-names: Ferstl
  given-names: Robert
  email: robert.ferstl@ur.de