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The Stata Journal
Volume 13 Number 1: pp. 136-140



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Estimating Geweke's (1982) measure of instantaneous feedback

Mehmet F. Dicle
Loyola University New Orleans
New Orleans, LA
mfdicle@loyno.edu
John Levendis
Loyola University New Orleans
New Orleans, LA
jlevendi@loyno.edu
Abstract.  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).
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View all articles with these keywords: gwke82, Geweke, Granger, causality, vector autoregression, time series, instantaneous feedback

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