Dear Nadeem,

Variables in the depvarlist have to follow the causal ordering. A variable that is higher in the ordering

causes contemporaneous changes in subsequent variables. Variables that are lower in the ordering affect previous variables with a lag. The default is lag(2).

Type 'findit xtvar' --> Enter

It ll give the details.

Best wishes,

Thanks Muhammad Atif Nawaz

just want to know one more thing, how to modify this command if I have 1 variable strictly exogenous?

like a b c d variables but d is strctly exog xtvar a b c ......... how to insert d

Thanks

XTVAR cannot be used in your setup. No option for strict exogenous variable(s). Try pvar.

You can use the command of pvarsoc

More information here (from the creators of the pvarsoc command):

Article Estimation of Panel Vector Autoregression in Stata