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Re: st: Granger causality test for VECM

From   "b.tracy" <[email protected]>
To   [email protected]
Subject   Re: st: Granger causality test for VECM
Date   Sun, 24 Jan 2010 11:21:39 -0800 (PST)

Thank you!

Quoting from the mentioned pdf (to capture the answer to the question):


The final two test commands are testing for Granger causality. By having already concluding that log income and log consumption are cointegrated, we have implicity concluded already that there is a long-run causal relation between them. So the causality being tested for in a VECM by these
tests is sometimes called “short-run Granger causality”.

vec lconsumption lincome, lags(3)
test ([D_lconsumption]: LD.lincome L2D.lincome)
test ([D_lincome]: LD.lconsumption L2D.lconsumption)



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