Hi!
Do anyone knows how to estimate Panel VAR model with Matlab or dynare?
I know VAR model with time series, but I have never used Panel VAR.
I need It to test the effect of common monetary policy shocks to the macro variables of each
country in the CEMAC Area. I suspect the heterogeneity of monetary policy, but I would like to
test it.
Please, I need your help.
Thanks!
Dear Samuel,
there is no code for panel VAR in Dynare.
Best
Michel