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

Muhammad Asali

Stata Journal, 2020, vol. 20, issue 2, 426-434

Abstract: Vector autoregression (VAR) estimation is a vital tool in economic studies. VARs, however, can be dimensionally cumbersome and overparameter- ized. The vgets command allows for a general-to-specific 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 offers diagnostics that facilitate a genuine-causality interpretation of the Granger causality tests.

Keywords: vgets; general-to-specific vector autoregressions; Granger causality; steady-state effects; cumulative impulse–responses (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:20:y:2019:i:2:p:426-434

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DOI: 10.1177/1536867X20931004

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