Vector autoregression models

[Steve Mikos]

I am new to working with time series data. I am looking to see how sudden larges changes in the price of oil impact GDP.

var changeGDP changeoil , lags(1/4) exog( ConsumerConfidence Interestratediscountrate InflationRate logexrate recession7375 recession8082 recession9091 recession0809 )

This is my equation. STATA gives you two columns, how oil impacts GDP and how GDP impacts oil. Why does STATA give you this and is it different from Granger test for causality?

Thank you.

[Steve Mikos]

I unfortunately have a new question. I need to specify what a shock is in STATA. What would be a code to generate a dummy variable indicating a shock for oil prices. I ran the threshold command and I have no idea how to interpret the results.