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RE: st: RE: VAR or VEC model


From   Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: VAR or VEC model
Date   Mon, 24 Aug 2009 22:28:21 +0100

Thank you for your reply.
All of the variables are integrated of the same order (i.e I(1))
How do I run the granger causality test? Do I run the regression of one variable on the other with appropriate lags and then do an f-test to test whether these lags of the indepndent variable are equal to zero? And what command tdo I use to see what lag length to use -> I used -varsoc- is that right?
And then do this separately for all variables?
Regards.
Ihtesham

----------------------------------------
> Subject: st: RE: VAR or VEC model
> Date: Mon, 24 Aug 2009 16:34:35 -0400
> From: JUANMIGUELV@Contractual.iadb.org
> To: statalist@hsphsun2.harvard.edu
>
> Kind,
> I'm not an expert but let me tell you what I know:
> Both are multivariate model of time series and the main difference
> regards to the final part of you question. You need to run first a
> causality test as well as a unit root test in order to explore if there
> is a endogenous or exogenous relation among your variables.
>
> Let's say you have var1 and var1, if var1 causes "Grangerly" to var2 and
> both don't have jointly a unit root you might run a VAR. If var1 doesn't
> cause "Grangerly" var2 but they jointly have a unit root the correct
> model is the error correction.
>
> Nevertheless, any explanation by mail would be incomplete. You might
> review the Ender's book "Applied Econometrics of Time Series". Good
> Luck.
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ihtesham
> Afzal
> Sent: Lunes, 24 de Agosto de 2009 03:51 p.m.
> To: statalist@hsphsun2.harvard.edu
> Subject: st: VAR or VEC model
>
> Hello.
>
> I would like to test the relationship between the FTSE100 index and a
> variety of macroeconomic variables.
> What is the difference between the VAR and VEC models in estimating the
> relationships and so how do I decide which one to use in my estimation.
> I am looking to do the Cointegration and Granger Causality Tests if that
> makes a difference.
>
> Kind Regards.
>
> Ihtesham.
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