Hi guys!
I would like to perform a Granger causality test after a VECM. Does anyone have an idea? Stata contains only granger causality tests after VAR models. I would like to perform causality tests after a VECM of rank 3 and lags(4). Does anyone know how I can do this? I found 2 codes in STATA forums, but I'm not aware of which one is more appropriate.
The first command is the following:
1.vec lconsumption lincome, lags(3) test ([D_lconsumption]: LD.lincome L2D.lincome) test ([D_lincome]: LD.lconsumption L2D.lconsumption) 2. and the second option is:
vec ln_ne ln_se test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0 Thank you in advance for your answer!
I would like to perform a Granger causality test after a VECM. Does anyone have an idea? Stata contains only granger causality tests after VAR models. I would like to perform causality tests after a VECM of rank 3 and lags(4). Does anyone know how I can do this? I found 2 codes in STATA forums, but I'm not aware of which one is more appropriate.
The first command is the following:
1.vec lconsumption lincome, lags(3) test ([D_lconsumption]: LD.lincome L2D.lincome) test ([D_lincome]: LD.lconsumption L2D.lconsumption) 2. and the second option is:
vec ln_ne ln_se test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0 Thank you in advance for your answer!
