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Re: st: RE: VAR or VEC model


From   Clive Nicholas <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: VAR or VEC model
Date   Tue, 25 Aug 2009 00:51:48 +0100

Ihtesham Afzal wrote:

> 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?

-help vargranger-

-- 
Clive Nicholas

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"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.

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