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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   Tue, 25 Aug 2009 08:58:25 +0100

Thanks you for your reply.
But how then do I test for cointegration between the variables in the model? I was made to believe that the only way of finding cointegrating verctors was by doing the -vecrank- and -vec- commands. 
So do I use the var model and then -vargranger -to test for granger causality
and then -vec- and -vecrank- commands to test for cointegration?
Kind Regards
Ihtesham

----------------------------------------
> Date: Tue, 25 Aug 2009 00:51:48 +0100
> Subject: Re: st: RE: VAR or VEC model
> From: clivelists@googlemail.com
> 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-
>
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