vgets: A command to estimate general-to-specic VARs, Granger causality, steady-state effects, and cumulative impulse-responses

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vgets: A command to estimate general-to-specic VARs, Granger causality, steady-state effects, and cumulative impulse-responses

Asali, Muhammad

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)

Asali, Muhammad

Subject(s)

Research and Development/Tech Change/Emerging Technologies

Issue Date

2020-04

Publication Type

Journal Article

DOI and Other Identifiers

10.22004/ag.econ.340352

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

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