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

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  • 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
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    Cited by:

    1. Asali, Muhammad & Abu-Qarn, Aamer & Beenstock, Michael, 2024. "Violence and cooperation in geopolitical conflicts: Evidence from the Second Intifada," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 261-286.
    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).
    3. 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.

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