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vgets: A command to estimate general-to-specific VARs, Granger causality, steady-state effects, and cumulative impulse–responses
The Stata Journal: Promoting communications on statistics and Stata ( IF 3.2 ) Pub Date : 2020-06-19 , DOI: 10.1177/1536867x20931004
Muhammad Asali 1
Affiliation  

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.



中文翻译:

vgets:用于估算一般特定VAR,Granger因果关系,稳态影响和累积冲激响应的命令

向量自回归(VAR)估计是经济研究中的重要工具。但是,VAR可能在尺寸上很繁琐且参数过大。所述vgets命令允许VARs-的克服潜在的一般到特殊估计overparameterization-和Granger因果提供测试,的长期影响,并且该系统中每个变量的累积脉冲响应估计; 它还提供了诊断方法,有助于对Granger因果关系检验进行真正的因果关系解释。

更新日期:2020-06-30
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