A1733
Title: The pvars R-Package: VAR modeling for heterogeneous panels
Authors: Lennart Empting - Uni Goettingen (Germany) [presenting]
Abstract: pvars offers a seamless implementation of vector autoregressive (VAR) methods for heterogeneous panel data. The R-package comprises panel cointegration rank tests, which can account for cross-sectional dependence and structural breaks in the deterministic term. The implemented panel SVAR models can be estimated under these specifications with pooled cointegrating vectors and identified by various panel identification procedures. We review these methods and present their modular implementation in R. The empirical illustrations replicate examples from the literature step-by-step and guide the pvars' users into conducting their own analyses.
