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Re: st: Granger causality test for VECM


From   Merijn Groenenboom <m.groenenboom@students.uu.nl>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Granger causality test for VECM
Date   Sat, 6 Aug 2011 19:46:05 +0200

Thanks again for the help Anees!

However I still fail to complete this test.
I start with:
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)

and then when I use the following command for example:
test d.lexr

Stata 10 sais d.lexr not found.
I do not understand how this is possible.
Do you know what is wrong?

Thanks in advance!

MerijnG

2011/8/6 Muhammad Anees <anees@aneconomist.com>:
> 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!
>>
>>
>> --
>> View this message in context: http://statalist.1588530.n2.nabble.com/st-Granger-causality-test-for-VECM-tp4447231p6658149.html
>> Sent from the Statalist mailing list archive at Nabble.com.
>> *
>> *   For searches and help try:
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>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
>
>
> --
>
>
> Regards
>
> Anees
>
> *
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>

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