*! version 1.0.1 21aug2026

Title

gvar contemp -- contemporaneous effects of the foreign variables

Syntax

gvar contemp [, vce(string) all nosummary saving(name)]

options

vce(string) ols, robust or nwest. Default nwest.

all report every element of Lambda_0, not only the matching pairs.

nosummary suppress the table.

saving(name) save the results matrix.

Description

gvar contemp reports the elements of Lambda_0 whose domestic and
foreign variable names coincide: the impact elasticity of each domestic
variable with respect to its own foreign counterpart. These are the
coefficients on D x* in the VECMX*, with t-ratios beneath.

Options

vce(string) the standard errors for the contemporaneous coefficients:
OLS, White or Newey-West.

all reports every (unit, variable) pair rather than the summary.

level(#) the confidence level for the reported interval.

graph, name(), saving() and nosummary as elsewhere.

These elasticities are the Lambda_0 block -- the impact of the foreign
variable on its domestic counterpart within the period. They are the most directly
interpretable numbers in a GVAR and are quoted routinely, which is why the
standard-error choice is exposed here: with T = 134 the difference between
OLS and Newey-West is not always cosmetic.

Remarks

How to read them. These are impact elasticities. A value near one means
the domestic variable moves one for one with its foreign counterpart on
impact, which is strong contemporaneous international transmission. Dees, di
Mauro, Pesaran and Smith (2007, Table 6) is the standard comparison.

A dot means the pair does not exist, either because the unit does not own
that domestic variable or because its foreign counterpart is not in the
model. Only variables appearing on both sides have a contemporaneous
coefficient; in the demo that is 105 pairs.

Examples

. gvar contemp
. gvar contemp, vce(robust)
. gvar contemp, all saving(L0)

Stored results

gvar contemp stores the following in r():

r(contemp) the coefficients and three sets of standard errors

r(vce) the standard-error type reported

Source

Toolbox contmpcoeff.m; White errors from the mlcoint.m HCW block,
Newey-West from neweywest.m.

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

https://github.com/merwanroudane