Dear Stata users,
I need a code that does time-varying vector autoregressive model with stochastic volatility for panel data.
Here is my project :
I have a sample of around 40 countries with the inclusion of some indicators-type variables - in addition to the usual macro and dummy variables - which characterize the various countries as a measure of regime changes according to their particular values over time. It can then be assumed that any change in time of the main variables (called regime) are influenced by those indicators.
I would much appreciate if you suggest how does stata perform time-varying vector autoregressive model with stochastic volatility for panel data
Best
Mario
I need a code that does time-varying vector autoregressive model with stochastic volatility for panel data.
Here is my project :
I have a sample of around 40 countries with the inclusion of some indicators-type variables - in addition to the usual macro and dummy variables - which characterize the various countries as a measure of regime changes according to their particular values over time. It can then be assumed that any change in time of the main variables (called regime) are influenced by those indicators.
I would much appreciate if you suggest how does stata perform time-varying vector autoregressive model with stochastic volatility for panel data
Best
Mario
