Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Long run causality after VEC?


From   "kknight09" <kknight09@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Long run causality after VEC?
Date   Fri, 19 Mar 2010 10:36:16 +0400

Dear all

I am conducting a causal relationship between variables.
I have generated my VEC and did my short run causality test using the -test- command (Wald Test).
Furthermore, I did a normal regression and predicted my residual.
Following this, I ran a regression of my differenced variables along with the lags of residual to get my ECM term.

My questions are:
-Do the beta estimates in the VEC represent the long run relationship of my variables towards my dependent variable? -I understand the ECM term represents the speed of adjustment. But does it convey long run causality? -I also understand that just like short run causality, each variable should have a Chi(2) and p-value conveying the long run causality. But I cannot find how to do that in Stata...Is it possible to do that? What are the commands?

I will be very grateful for your help...
Thanking you in anticipation...

Ken
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index