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

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.