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

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  • Muhammad Asali

    () (International School of Economics at Tbilisi State University; Georgia; IZA, Germany; SIPA, Columbia University, NY)

Abstract

Vector Autoregression (VAR) estimation is a vital tool in economic studies. VARs, however, can be dimensionally cumbersome and overparameterized. vgets command allows for a general-to-specific (GETS) 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, 2019. "vgets: A program to estimate general-to-specific VARs, Granger causality, steady-state effects, and cumulative impulse responses," Working Papers 007-19, International School of Economics at TSU, Tbilisi, Republic of Georgia.
  • Handle: RePEc:tbs:wpaper:19-007
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    1. Muhammad Asali & Aamer S. Abu‐Qarn & Michael Beenstock, 2017. "The cycle of violence in the Second Intifada: Causality in nonlinear vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1197-1205, September.
    2. Julia Campos & Neil R. Ericsson (ed.), 2005. "General-to-Specific Modelling," Books, Edward Elgar Publishing, volume 0, number 2417.
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