Question:
Hı!, I’m estimating a Panel VAR using the stat pvar package which estimates homogenous pvar. How can I get irf for individual country answe this question?
Source: Research gate
You may take the following
actions to get impulse response functions (IRFs) for particular countries in a
panel VAR estimated with the pvar package:
Estimate the Panel VAR:
VAR model should first be estimated using the pvar program, with the correct
specifications, lag length, and other pertinent options. As a result, You will
receive the panel VAR model’s coefficients.
Extract Country-Specific Data:
Take
the data from your panel dataset that is particular to each country. This often entails dividing the dataset according to the target nation.
Generate Impulse Variables: By
constructing appropriate identifying shocks, create impulse variables for every
country. These shocks serve as each country’s innovation or impulse.
Compute Impulse Response
Functions:
Generate the impulse response functions for each country using the
estimated panel VAR coefficients and the impulse variables that are unique to that
country. This may be accomplished by using the relevant functions or processes inside the pvar package or by using additional packages
like vars or irf.
Plot and Analyze the IRFs:
