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On Sun, Jan 24, 2010 at 4:35 AM, b.tracy <[email protected]> wrote:
> 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,
>
> Brandon.
>
>
>
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>
--
To every Ï?-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
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