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alban
2008 Nov 25
0
Vector autoregression, panel data
...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 ......