Dear Stata users,
I am working on a paper where I need to imply time varying Vector Autoregression with stochastic volatility for panel data. I would like to kindly ask if you are aware of a Stata command or program that can actually perform this exercise
More into concrete I am working on a project that tries to study low-frequency movements in volatility of productivity growth and in the key macroeconomic variables, Total factor productivity (TFP) etc by adapting a macro panel context for a large number of countries.
Following the literature pioneered by Cogley and Sargent (2001 and 2005), and followed among others by Primiceri (2005), Sargent and Surico (2011) and Benigno et al (2010) I model the evolution of productivity growth, Total Factor Productivity, etc using a Panel VAR with drifting coefficients and stochastic volatility. The drifting coefficients enable to construct a time-varying measure for the mean of the endogenous variables. Both the drifting coefficients and the stochastic volatility allow to construct a time-varying measure of volatility..
Therefore I would like to ask you if are aware of a command or program on Stata that can perform TVP with stochastic volatility for panel as described above.
Many thanks for taking the time to query. read my email. I look forward to your responses

​​​​​​Regards,

Mario Ferri