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st: Performing long run causality test after a VEC-how?


From   "kknight09" <kknight09@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Performing long run causality test after a VEC-how?
Date   Fri, 19 Mar 2010 17:48:39 +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?

Can anyone please help me with the above?
I will be very grateful for your help...
Thanking you in anticipation...

Ken


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