I am using the command 'vargranger' in Stata 8 to test for Granger causality after a var model. The output only gives me the Wald tests for the right-hand side variables for each equation but not for the lagged dependent variable for each equation i.e. it does not tell me whether lags of Y granger cause Y. Does anyone know how to get these values (without using the very type-intensive 'test' command)? Any ideas are grately appreciated!
Best,
Sabine Carey
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