Can someone help me test for Granger causality after a VECM?
After a search of the archives, I still cannot find a means of testing for Granger causality after a VECM.
-vargranger- can only be used after a var or svar, which excludes models with cointegration.
-test- cannot be used after vec
I'm not sure how to write a standard F-test for a vecm, due to the need to include the alpha-beta cointegration matrices. At my present stage of understanding, an F-test needs to be conducted on the full model, which would include the cointegration equation(s) for a vecm.
Any help would be greatly appreciated,
Brandon.
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