How to perform impulse response function (IRF) and forecast error variance decomposition (FEVD) based on panel VECM？

[Yang Zhou]

Hi all,

I am currently working on a panel error correction model (PVECM), and trying to perform IRF and FEVD based on panel VECM. The stata command pvar can only do IRF for panel VAR models.

I wonder if there is any command in stata to estimate IRF and FEVD based on panel VECM?

Could anyone kindly suggest a user-friendly software to estimate PVECM, impulse response function (IRF) and forecast error variance decomposition (FEVD) based on PVECM?

What commands can I use in those softwares?

Is there any helpful literature or website?

Thanks for all your help!

[Melanie Zhang]

Hi Yang, just wondering have you found the code or other software for IRF and FEVD?