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st: Granger causality test for VECM

From   "b.tracy" <[email protected]>
To   [email protected]
Subject   st: Granger causality test for VECM
Date   Sat, 23 Jan 2010 15:05:51 -0800 (PST)

Can someone help me test for Granger causality after a VECM?

After a search of the archives, I still cannot find a means of testing for Granger causality after a VECM.

-vargranger- can only be used after a var or svar, which excludes models with cointegration.

-test- cannot be used after vec

I'm not sure how to write a standard F-test for a vecm, due to the need to include the alpha-beta cointegration matrices. At my present stage of understanding, an F-test needs to be conducted on the full model, which would include the cointegration equation(s) for a vecm.

Any help would be greatly appreciated,


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