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Re: st: Granger causality test for VECM
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
Re: st: Granger causality test for VECM
Date
Sat, 6 Aug 2011 10:49:01 +0500
Check helpfile for vec and read thereon
for Wald test -help test-
and other postestimation help check -help vec_postestimation-
You can try
test d.lexr or
test d.lexr=0 and so on for other statistics.
Check the help file for stata routines and postestimation of these
routine for helpful insights.
Anees
On Sat, Aug 6, 2011 at 2:40 AM, MerijnG <[email protected]> wrote:
> And what command should you use when you have many independent variables with
> granger causality after a VECM. My VEC regression is:
>
> vec d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.loil d.lcon d.lgold d.ltb
> d.linf, lags(3)
>
> Can anybody try to give me the exact command in this example which I should
> use to test for Granger causality of the dependent variable (d.lstp) on all
> the different independent variables?
>
> Thanks in advance!
>
>
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--
Regards
Anees
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