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

• Autores: Muhammad Asali
• Localización: The Stata journal, ISSN 1536-867X, Vol. 20, Nº. 2, 2020, págs. 426-434
• Idioma: inglés
• DOI: 10.1177/1536867x20931004
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• Resumen

  • 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-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 genuinecausality interpretation of the Granger causality tests.