Estimating Geweke’s (1982) measure of instantaneous feedback

In this article, we describe the gwke82 command, which implements a measure of instantaneous feedback for two time series following Geweke (1982, Journal of the American Statistical Association 77: 304–313). Copyright 2013 by StataCorp LP.

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Year of publication:	2013
Authors:	Dicle, Mehmet F. ; Levendis, John
Published in:	Stata Journal. - StataCorp LP. - Vol. 13.2013, 1, p. 136-140
Publisher:	StataCorp LP
Subject:	gwke82 \| Geweke \| Granger \| causality \| vector autoregression \| time series \| instantaneous feedback

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Type of publication:	Article
Notes:	to access software from within Stata, net describe http://www.stata-journal.com/software/sj13-1/st0287/
Source:	RePEc - Research Papers in Economics

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