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 on April 23, and its replacement, is already up and running.

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

st: Long run causality test after a VEC-how?

From   "kknight09" <>
To   <>
Subject   st: Long run causality test after a VEC-how?
Date   Sat, 20 Mar 2010 09:26:21 +0400

Dear all

Can anyone help me please?

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...

*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index