Any recommendations for which software to use to estimate panel VEC (vector error correction)?

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El Mostafa Bentour

I suggest you use Eviews among others

Azat Aituar

Thank you the response eviews was my second choice, but couldn't find command for panel data vec in eviews either.

Oana Peia

I far as I know, Eviews does not automatically perform a panel VECM. What you could do is test for panel cointegration, estimate the cointegrating relationship and then build the VECM yourself.

Let me know if you need any help with the Eviews commands for any of these procedures.

Best,

Oana