On Sunday, Brandon <[email protected]> posted a question on Granger causality
containing the following statement:
> -test- cannot be used after vec
Tirthankar [[email protected]] provided a link that includes
comments and also code with one solution to Brandon's question. The code
uses the -test- command after fitting a model with -vec-.
I would like to emphasize that -test- is a valid postestimation command
after using -vec to estimate the parameters of a vector error correction
(VEC) model.
Here is a short code where I use -test- to perform a Wald test after
fitting the VEC model in the first example of the entry for -vec- on the
time-series manual:
use http://www.stata-press.com/data/r11/rdinc
vec ln_ne ln_se
test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0
And the output for the last command:
. test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0
( 1) [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0
chi2( 1) = 0.13
Prob > chi2 = 0.7167
--Gustavo Sanchez
[email protected]
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