A review of Stata SVAR modeling capabilities

In this presentation, I will discuss Stata’s capability to implement the entire SVAR methodology with nonstationary series. In the presence of cointegration, the structuralization of a VAR model takes place at two distinct stages: the first is the identification of the long-run equilibrium relationships, and the second stage is the identification of the short-run interactions. I will briefly discuss such methodology and the available facilities in Stata to carry it out, emphasizing what is still needed and what might be refined.