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st: Granger causality and residuals on xtpmg


From   Can Bekoglu <canbekoglu@gmail.com>
To   statalist@hsphsun2.harvard.edu
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.

Can
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