Panel Structural Vector Autoregression (Panel SVAR) Model

The Panel SVAR model extends the Structural VAR framework to panel data, jointly modelling multiple endogenous time-series variables across several cross-sectional units (e.g., countries or firms). Structural restrictions — short-run, long-run, or sign restrictions — are imposed on the contemporaneous relationships among variables to identify economically meaningful causal shocks and trace their propagation across units and time.