vgets: A command to estimate general-to-specic VARs, Granger causality, steady-state effects, and cumulative impulse-responses
2020
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Title
vgets: A command to estimate general-to-specic VARs, Granger causality, steady-state effects, and cumulative impulse-responses
Keywords
Vector autoregression (VAR) estimation is a vital tool in economic; studies. VARs, however, can be dimensionally cumbersome and overparameterized.; The vgets command allows for a general-to-specificc estimation of VARs|; overcoming the potential overparameterization|and provides tests for Granger; causality, estimates of the long-run effects, and the cumulative impulse{response; of each variable in the system; it also oers diagnostics that facilitate a genuinecausality; interpretation of the Granger causality tests.
Author(s)
Issue Date
2020-04
Publication Type
Journal Article
DOI and Other Identifiers
Record Identifier
https://ageconsearch.umn.edu/record/340352
ISSN
1536-8634
Language
English
Published in
Stata Journal
Volume
20
Issue
2
Page Range
426 - 434
Record Appears in