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| From | "kknight09" <kknight09@hotmail.com> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | st: Long run causality test after a VEC-how? |
| Date | Sat, 20 Mar 2010 09:26:21 +0400 |
Dear all Can anyone help me please? I am conducting a causal relationship between variables. I have generated my VEC and did my short run causality test using the -test- command (Wald Test). Furthermore, I did a normal regression and predicted my residual. Following this, I ran a regression of my differenced variables along with the lags of residual to get my ECM term. My questions are: -Do the beta estimates in the VEC represent the long run relationship of my variables towards my dependent variable? -I understand the ECM term represents the speed of adjustment. But does it convey long run causality? -I also understand that just like short run causality, each variable should have a Chi(2) and p-value conveying the long run causality. But I cannot find how to do that in Stata...Is it possible to do that? What are the commands? Can anyone please help me with the above? I will be very grateful for your help... Thanking you in anticipation...Ken
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