ERPT

The data set <code>ERPT</code> consists of 
 monthly observations for the logarithm of import prices \(lm^*\), 
 foreign prices \(lf^*\), and the exchange rate against the US dollar \(llcusd\).
 It covers the period January 1995 to March 2005 \((T=123)\) for \(N=7\) countries. 
 The asterisk denotes the industry of the variables and can take values from 0 to 8:<ul>
<li>0: Food and live animals chiefly for food</li>
<li>1: Beverages and tobacco</li>
<li>2: Crude materials (inedible, except fuels)</li>
<li>3: Mineral fuels, lubricants and related materials</li>
<li>4: Animal and vegetable oils, fats and waxes</li>
<li>5: Chemicals and related products</li>
<li>6: Manufactured goods classified chiefly by materials</li>
<li>7: Machines, transport equipment</li>
<li>8: Manufactured goods</li>
</ul>

datasets

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, <doi:10.1016/j.ecosta.2020.05.002>),
(2) the two-step estimator for pooled cointegrating vectors
by Breitung (2005, <doi:10.1081/ETC-200067895>), and
(3) the pooled identification based on independent component analysis
by Herwartz and Wang (2024, <doi:10.1002/jae.3044>).

Lennart Empting

pvars

VAR Modeling for Heterogeneous Panels

ERPT function

A long-format data panel of class '<code>data.frame</code>', 
 where the columns <code>id_i</code> and <code>id_t</code> 
 indicate the country and month respectively.

ERPT: Data set on the Exchange Rate Pass-Through

Description

Usage

Arguments

Format

References

See Also