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Re: st: Granger causality test for VECM


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Granger causality test for VECM
Date   Sat, 6 Aug 2011 10:49:01 +0500

Check helpfile for vec and read thereon

for Wald test  -help test-
and other postestimation help check -help vec_postestimation-

You can try

test d.lexr  or
test d.lexr=0 and so on for other statistics.

Check the help file for stata routines and postestimation of these
routine for helpful insights.

Anees

On Sat, Aug 6, 2011 at 2:40 AM, MerijnG <m.groenenboom@students.uu.nl> wrote:
> And what command should you use when you have many independent variables with
> granger causality after a VECM. My VEC regression is:
>
> vec d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.loil d.lcon d.lgold d.ltb
> d.linf, lags(3)
>
> Can anybody try to give me the exact command in this example which I should
> use to test for Granger causality of the dependent variable (d.lstp) on all
> the different independent variables?
>
> Thanks in advance!
>
>
> --
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> Sent from the Statalist mailing list archive at Nabble.com.
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-- 


Regards

Anees

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