Economics at your fingertips  

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
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) link to article purchase (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1177/1536867X20931004

Access Statistics for this article

Stata Journal is currently edited by H. Joseph Newton and Nicholas J. Cox

More articles in Stata Journal from StataCorp LP
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().

Page updated 2021-04-11
Handle: RePEc:tsj:stataj:v:20:y:2019:i:2:p:426-434