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RE: st: Granger causality test for VECM

From   "Gustavo Sanchez" <[email protected]>
To   <[email protected]>
Subject   RE: st: Granger causality test for VECM
Date   Mon, 25 Jan 2010 14:42:38 -0600

On Sunday, Brandon <[email protected]> posted a question on Granger causality
containing the following statement:

>  -test- cannot be used after vec

Tirthankar [[email protected]] provided a link that includes
comments and also code with one solution to Brandon's question. The code
uses the -test- command after fitting a model with -vec-.

I would like to emphasize that -test- is a valid postestimation command
after using -vec to estimate the parameters of a vector error correction
(VEC) model.

Here is a short code where I use -test- to perform a Wald test after 
fitting the VEC model in the first example of the entry for -vec- on the 
time-series manual:

vec ln_ne ln_se
test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0

And the output for the last command:

. test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0

 ( 1)  [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0

           chi2(  1) =    0.13
         Prob > chi2 =    0.7167

     --Gustavo Sanchez
       [email protected]

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