Estimating a Panel VAR (vector autoregression) model using sign restrictions

[S Mukherji]

Dear Stata Users,

I want to estimate a VAR (vector auto regression) model for a panel dataset using sign restrictions to identify a structural shock. From what I understand, the only command available in Stata for panel VAR is pvar ((pvar.ado - provided by Inessa Love)). While this command allows the estimation of IRFS, it is based on a cholesky decomposition of the variance-covariance matrix.

Is there any alternative to this command which allows the estimation of structural VAR on panel data using sign restrictions? Or does one have to resort to other softwares for the same?

Thank you.

[Gabriel Temesgen]

hello Mukherji, I want to use structural VAR on panel data using sign restrictions in stata. do you get the commands for sign restricted var? plus, I need to know how to identify a shock within a business cycle?