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  "Description": "Implements the estimator of Tugan (2021)\n<doi:10.1093/ectj/utaa021> for panel vector autoregression\n(VAR) models with interactive fixed effects. Provides joint\nestimation of VAR coefficients, latent common factors, and\nfactor loadings via an iterative algorithm that alternates\nbetween principal component estimation of the factors and least\nsquares estimation of the VAR coefficients, following the\napproach of Bai (2009). Supports impulse response functions\nunder recursive (Cholesky) identification, parametric\nconfidence bands from the joint asymptotic distribution of the\nestimator (Theorem 2.3), and a classical residual bootstrap for\nrobustness checks.",
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      "title": "Asymptotic variance and bias of the pvarife estimator",
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    {
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      "title": "Classical residual bootstrap confidence bands for IRFs",
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    },
    {
      "page": "coef.pvarife_result",
      "title": "Extract coefficients from a pvarife_result",
      "topics": [
        "coef.pvarife_result"
      ]
    },
    {
      "page": "compute_irf",
      "title": "Compute impulse response functions under recursive (Cholesky) identification",
      "topics": [
        "compute_irf"
      ]
    },
    {
      "page": "extract_factors",
      "title": "Extract factors and loadings at an arbitrary coefficient vector",
      "topics": [
        "extract_factors"
      ]
    },
    {
      "page": "irf_bands",
      "title": "Parametric confidence bands for impulse response functions",
      "topics": [
        "irf_bands"
      ]
    },
    {
      "page": "lag_lead_matrix",
      "title": "Build a matrix of lags and/or leads",
      "topics": [
        "lag_lead_matrix"
      ]
    },
    {
      "page": "plot.pvarife_bands",
      "title": "Plot impulse response bands",
      "topics": [
        "plot.pvarife_bands"
      ]
    },
    {
      "page": "plot.pvarife_irf",
      "title": "Plot impulse response functions",
      "topics": [
        "plot.pvarife_irf"
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    },
    {
      "page": "print.pvarife_result",
      "title": "Print method for pvarife_result",
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    },
    {
      "page": "pvarife",
      "title": "Estimate a Panel VAR with Interactive Fixed Effects",
      "topics": [
        "pvarife"
      ]
    },
    {
      "page": "pvarife_sim",
      "title": "Simulated panel VAR dataset with interactive fixed effects",
      "topics": [
        "pvarife_sim"
      ]
    },
    {
      "page": "sim_pvarife",
      "title": "Simulate panel VAR data with interactive fixed effects",
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        "sim_pvarife"
      ]
    },
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      "title": "Summary method for pvarife_result",
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        "Introduction",
        "1  Data Format",
        "2  Simulate Data",
        "3  Estimate the Model",
        "Extract coefficients",
        "4  Impulse Response Functions",
        "Point estimates (no confidence bands)",
        "Confidence bands (asymptotic simulation)",
        "Classical residual bootstrap (optional)",
        "5  Long-Run Identification (Blanchard-Quah)",
        "Long-run DGP",
        "Long-run IRFs and bands",
        "6  Bias-Corrected Point Estimate",
        "7  Asymptotic Inference",
        "8  Working with Unbalanced Panels",
        "9  Tuning Advice",
        "10  Replicating the Liaqat (2019) Application",
        "References"
      ],
      "created": "2026-06-11 16:33:35",
      "modified": "2026-06-11 16:33:35",
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