A review of Stata SVAR modeling capabilities

Armando Sánchez Vargas ()
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Armando Sánchez Vargas: Institute for Economic Research, UNAM

Mexican Stata Users' Group Meetings 2009 from Stata Users Group

Abstract: In this presentation, I will discuss Stata’s capability to implement the entire SVAR methodology with nonstationary series. In the presence of cointegration, the structuralization of a VAR model takes place at two distinct stages: the first is the identification of the long-run equilibrium relationships, and the second stage is the identification of the short-run interactions. I will briefly discuss such methodology and the available facilities in Stata to carry it out, emphasizing what is still needed and what might be refined.

Date: 2009-06-05

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http://repec.org/msug2009/mex09sug_asv.ppt presentation slides (application/x-ms-powerpoint)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:msug09:03

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