Ihtesham,
Read the literature on the Johansen trace and maximum eigenvalue
tests for vector cointegration. You may wish to run the
vectstable, graph
command to ascertain whether your long-run matrix is of full rank.
Then you want to run the
vecrank
command to apply the Johansen tests
for cointegrated vectors.
I hope this is of help.
Cheers,
Bob
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Ihtesham Afzal <[email protected]>
Date: Tuesday, August 25, 2009 4:01 am
Subject: RE: st: RE: VAR or VEC model
To: [email protected]
> Thanks you for your reply.
> But how then do I test for cointegration between the variables in the
> model? I was made to believe that the only way of finding
> cointegrating verctors was by doing the -vecrank- and -vec- commands.
>
> So do I use the var model and then -vargranger -to test for granger causality
> and then -vec- and -vecrank- commands to test for cointegration?
> Kind Regards
> Ihtesham
>
> ----------------------------------------
> > Date: Tue, 25 Aug 2009 00:51:48 +0100
> > Subject: Re: st: RE: VAR or VEC model
> > From: [email protected]
> > To: [email protected]
> >
> > Ihtesham Afzal wrote:
> >
> >> Thank you for your reply.
> >> All of the variables are integrated of the same order (i.e I(1))
> >> How do I run the granger causality test? Do I run the regression of
> one variable on the other with appropriate lags and then do an f-test
> to test whether these lags of the indepndent variable are equal to
> zero? And what command tdo I use to see what lag length to use -> I
> used -varsoc- is that right?
> >> And then do this separately for all variables?
> >
> > -help vargranger-
> >
> > --
> > Clive Nicholas
> >
> > [Please DO NOT mail me personally here, but at
> > . Please respond to contributions I make in
> > a list thread here. Thanks!]
> >
> > "My colleagues in the social sciences talk a great deal about
> > methodology. I prefer to call it style." -- Freeman J. Dyson.
> >
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