VAR Modeling for Heterogeneous Panels
Description
Implements (1) panel cointegration rank tests, (2) estimators for panel
vector autoregressive (VAR) models, and (3) identification methods for panel
structural vector autoregressive (SVAR) models as described in the accompanying vignette.
The implemented functions allow to account for cross-sectional dependence
and for structural breaks in the deterministic terms of the VAR processes.
Among the large set of functions, particularly noteworthy are those that implement
(1) the correlation-augmented inverse normal test on the cointegration rank
by Arsova and Oersal (2021, ),
(2) the two-step estimator for pooled cointegrating vectors
by Breitung (2005, ), and
(3) the pooled identification based on independent component analysis
by Herwartz and Wang (2024, ).