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st: how to do multiple horizon causality test by Dufour and Renault
From
Prakash Singh <[email protected]>
To
statalist <[email protected]>
Subject
st: how to do multiple horizon causality test by Dufour and Renault
Date
Sat, 27 Oct 2012 12:34:04 +0530
Dear all
First of all forgive me if the query does not sound stata help query
as it is directly not linked with stata.
I need help in empirically applying multiple horizon causality test
mentioned in "Jean-Marie Dufour & Eric Renault, 1998. "Short Run and
Long Run Causality in Time Series: Theory," Econometrica, Econometric
Society, vol. 66(5), pages 1099-1126, September." paper.
Can any one explain me the steps involved in the estimation as after
repeated reading of the paper I am unable to follow the exact
procedure.
Please let me know if more information is required.
regards
Prakash
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