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: Granger causality and residuals on xtpmg

From   Can Bekoglu <>
Subject   st: Granger causality and residuals on xtpmg
Date   Tue, 7 May 2013 14:31:10 -0500

Dear Statalisters,I am running the pooled mean-group estimation
through 'xtpmg' with panel data (N=26, T=30) in Stata 12.

The model is as following:. xtpmg d.logY d.X1 d.logX2 d.X3 d.X4 d.X5,
lr(l.logY X1 logX2 X3 X4 X5) ec(ec) replace pmg.

I have two concerns: (1) How can I test Granger causality on short-run
coefficients? (2) How can I obtain residuals from the model to test
for unitroot? Using this estimator is first time for me.

I appreciate for your time and considerations in advance.

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index