This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and...

Many macroeconomic and financial variables show highly persistent and correlated patterns but not necessarily cointegrated. Recently, Sun, Hsiao and Li (2010) propose using a semiparametric varying coefficient approach to capture correlations between integrated but non cointegrated variables....