Estimation of Panel Vector Autoregression in Stata

By M. Abrigo, Inessa Love. 2016

782 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/48842fc52ae941b0ff667f716668d2182453aca9

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In Economics and Econometrics

1. Niklas Potrafke
2. S. Law
3. Afees A. Salisu
4. Savina Gygli
5. G. Ebuh
6. N. Usman
7. Florian Haelg
8. Murali Sambasivan

Citations in the corpus

• The causality direction of the corporate social responsibility – Corporate financial performance Nexus: Application of Panel Vector Autoregression approach (2019, methodology): “In this paper we use an improved version (Abrigo and Love, 2016).”
• The KOF Globalisation Index – revisited (2019, methodology): “To do so, we estimate a homogeneous panel VAR of order ρ with panel-specific fixed effects in a General Methods of Moments (GMM) framework following Abrigo and Love (2016). The model consists of the following system of linear equations:”
• Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results (2020, background): “Between February andMarch 2020when the virus spreadmuch rapidly and was declared a global pandemic (See WHO, 2020), the US stock prices fell by 32 percent, the UK’s by 27.9 percent and the Italy’s by 39.3 percent.”