IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v20y2019i2p426-434.html
   My bibliography  Save this article

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

Author

Listed:
  • Muhammad Asali

    (Tbilisi State University)

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.

Suggested Citation

  • Muhammad Asali, 2020. "vgets: A command to estimate general-to-specific VARs, Granger causality, steady-state effects, and cumulative impulse–responses," Stata Journal, StataCorp LP, vol. 20(2), pages 426-434, June.
    • Handle: RePEc:tsj:stataj:v:20:y:2019:i:2:p:426-434
    DOI: 10.1177/1536867X20931004
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0602
    File Function: link to article purchase
    Download Restriction: no
    File URL: http://www.stata-journal.com/software/sj20-2/st0602/
    Download Restriction: no
    File URL: https://libkey.io/10.1177/1536867X20931004?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Muhammad Asali, 2021. "Gender and ethnic wage differentials inhibit growth: A shred of evidence," Working Papers 002-21, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    2. Sarkodie, Samuel Asumadu & Ahmed, Maruf Yakubu & Leirvik, Thomas, 2022. "Trade volume affects bitcoin energy consumption and carbon footprint," Finance Research Letters, Elsevier, vol. 48(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:20:y:2019:i:2:p:426-434. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.