.xtabond g l(2/4).g l(1/4).f
.xtabond f l(2/4).f l(1/4).g
which is to test Granger causality between the two
variables. It amounts to testing if the coefficients
of all the lags of the other variable are
statistically significantly different from zero.
Do all these procedures seem to be correct?? I have
also deliberately chosen 4 lags, because I do not know
how to choose the optimal lag structure for the panel
VARs. Could someone let me know of such a command??
Thanks for any help you can provide.
Quoc Binh
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