Hi! I'm a new R user and I have a question about estimating VAR on a panel data. What I'm trying to do is to explain stock's volume on it's lagged volume, it's lagged returns and lagged market return's (and vice versa). In addition I have generated an exogenous variable controlling for stock's volatility. Some of you may be familiar with this experiment since it follows Statman, Thorley & Vorkink (2004) article.
The problem is how to estimate VAR by a stock when using panel data? Previously I have been using SAS which easily allows to estimate VAR by variable. In this case, the SAS code is: proc varmax data= xxx; model VOLUME RETURN MARKETRET = VOLATILITY / p=3 ; by STOCK; So how to do the same thing with R? Here is a sample of my data: STOCK DATE RETURN MARKETRET VOLUME VOLATILITY ALBAV 19910228 0.0000000000 1.082824e-02 1.003302e-01 3.054257e-04 ALBAV 19910327 -0.0165264410 -3.946030e-04 -2.650549e-01 3.046369e-04 ALBAV 19910430 0.0000000000 2.041973e-03 -2.682568e-01 3.038513e-04 ALBAV 19910531 0.0000000000 6.682507e-03 1.905265e-02 3.030691e-04 FUM1V 19910228 ... ... FUM1V 19910327 ... ... FUM1V 19910430 ... ... NOK1V 19910228 NOK1V 19910327 NOK1V 19910430 Hope someone can help. -Tom -- View this message in context: http://www.nabble.com/Vector-autoregression%2C-panel-data-tp20679144p20679144.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.