Is there any MATLAB toolbox or code available for estimating vector autoregressions with panel data?

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Michael
Michael 2012-8-28
I have found no answer to this question on the forum here or elsewhere and have not found code in the LeSage Econometric toolbox or any other I have searched so far. The LeSage Econometric toolbox has code for estimating different types of vector autoregressions (VAR), but with time-series data only. I want to use 3 time series variables for multiple countries (cross section elements) so I need to be able to run fixed effects estimation inside the VAR.

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