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)
"
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
