Good day, are there major limitations on the use of the Vector Auto Regression when analysing time series data for a single country between 1980 and 2016? And is convenient to regress it on STATA?
I will recommend the Baxter and King (1993) methodology as discussed further by Fatas and Mihov (2001). Employment was regressed against fiscal and non fiscal variables. You perform the cointegration tests to determine the existence of a long-run equilibrium relationship amongst the variables.