Dear all,
greetings,
I am facing a similar problem with a panel VAR model. I want to add country-fixed effects, country-specific time trends and time-fixed effects in a panel VAR model. If I have 18 countries and 25 years dataset, did the codes below control for cross-country heterogeneity and contemporaneous residual correlation? When do we add gmmstyle?
I am following Abrigo and Love (2015) STATA codes.
thanks
1. pvar endogenous1 endogenous2 endogenous3 endogenous4 , instlags(1) fd td vce (robust)
2. pvar endogenous1 endogenous2 endogenous3 endogenous4 , instlags(1) gmmstyle fd td vce (robust)
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