Hi, Dear All,
I am new to the PVAR model and I have some questions about the exogenous variables in the PVAR model:
1. When specifying a PVAR model, should the exogenous control variables in exog() be:
A) Variables that influence both endogenous variables (y1 and y2)
B) Variables that influence either endogenous variable( y1 or y2)
I read the Chang et al. (2024) paper (link attached below). In their PVAR tests, they include only variables that influence both endogenous variables. However
2. a general question: When specifying a PVAR model, what types of control variables can be in exog(). Based on what I understand, the exogenous control variables should influence y1 and y2 but not be influenced by y1 and y2. Am I correct?
I want to ensure I am selecting valid exogenous variables that do not cause endogeneity issues. Any guidance on appropriate exog() variable selection for PVAR models would be helpful.
I am new to the PVAR model and I have some questions about the exogenous variables in the PVAR model:
1. When specifying a PVAR model, should the exogenous control variables in exog() be:
A) Variables that influence both endogenous variables (y1 and y2)
B) Variables that influence either endogenous variable( y1 or y2)
I read the Chang et al. (2024) paper (link attached below). In their PVAR tests, they include only variables that influence both endogenous variables. However
2. a general question: When specifying a PVAR model, what types of control variables can be in exog(). Based on what I understand, the exogenous control variables should influence y1 and y2 but not be influenced by y1 and y2. Am I correct?
I want to ensure I am selecting valid exogenous variables that do not cause endogeneity issues. Any guidance on appropriate exog() variable selection for PVAR models would be helpful.
