Panel VAR model with categorical variables

[Jack Jameson]

Hi all,

I have been running panel VAR models with Stata's community contributed command pvar (https://www.stata-journal.com/articl...article=st0455)

 
 net describe st0455, from(http://www.stata-journal.com/software/sj16-3)  pvar X Y

I would like to specify such a model with a categorical variable, but factor variables are not allowed. Does anybody happen to know a workaround, or potential reason why this is not possible?

Thank you,

[George Ford]

tab variable, generate(var)

this will create dummies for each level of variable. use those in estimation.