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Re: st: RE: VAR or VEC model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: VAR or VEC model
Date   Mon, 24 Aug 2009 20:47:26 -0400

Ihtesham,
   Use the vargranger command after executing the var command.
Otherwise, you can set it up manually without too much trouble.
        Regards,
             Bob Yaffee

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Clive Nicholas <clivelists@googlemail.com>
Date: Monday, August 24, 2009 7:53 pm
Subject: Re: st: RE: VAR or VEC model
To: statalist@hsphsun2.harvard.edu


> 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
> 
> [Please DO NOT mail me personally here, but at
> <clivenicholas@hotmail.com>. Please respond to contributions I make in
> a list thread here. Thanks!]
> 
> "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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