Hi, all
I am new to the PVAR and currently estimating a panel VAR model using pvarsoc. But I am running into convergence issues (convergence not achieved). Here is my code:
pvarsoc y1 y2 ,exog( AGE Tenure BoardSize OutsideDIR Lag_LnSales Lag_Leverage Lag_ROA Lag_RET VOL Lag_CAPEX Lag_RD Lag_BTM ) maxlag(3) pvaro(instl(1/4))
The convergence is not achieved when I include both "AGE" and "Tenure", the two highly correlated variables. Could this high multicollinearity between exogenous variables cause problems with the GMM convergence?
Or would there be any other potential reasons for the convergence issues?
Any insights on how to deal with convergence issues would be appreciated.
I am new to the PVAR and currently estimating a panel VAR model using pvarsoc. But I am running into convergence issues (convergence not achieved). Here is my code:
pvarsoc y1 y2 ,exog( AGE Tenure BoardSize OutsideDIR Lag_LnSales Lag_Leverage Lag_ROA Lag_RET VOL Lag_CAPEX Lag_RD Lag_BTM ) maxlag(3) pvaro(instl(1/4))
The convergence is not achieved when I include both "AGE" and "Tenure", the two highly correlated variables. Could this high multicollinearity between exogenous variables cause problems with the GMM convergence?
Or would there be any other potential reasons for the convergence issues?
Any insights on how to deal with convergence issues would be appreciated.
