Hi,
I would like to test (short-run) Granger causality in a VECM model with only one lag. I have found a document that does it for 3 lags. I thought I would be able to edit the code easily but somehow I am stuck:
https://socialsciences.mcmaster.ca/m...out%20full.pdf
Here is the data I have:
Here is the code I have. The last line does not work:
Here is the error I get:
". test ([D_lconsumption]: LD.lincome )
LD.lincome not found
"
In the link provided, the code is very similar with 3 lags. I just do not know the syntax to get the short-term Granger causality test to work with one lag. Please help. Thanks.
I would like to test (short-run) Granger causality in a VECM model with only one lag. I have found a document that does it for 3 lags. I thought I would be able to edit the code easily but somehow I am stuck:
https://socialsciences.mcmaster.ca/m...out%20full.pdf
Here is the data I have:
Code:
* Example generated by -dataex-. For more info, type help dataex clear input float(monthyear lconsumption lincome) 675 363 560 676 4982 8538 677 5008 15146 678 79305 265707 679 77967 354004 680 47894 211406 681 39764 155116 682 31204 149535 683 36509 161429 684 40262 178205 685 36904 145206 686 49472 196574 687 41860 172077 688 134783 593005 689 382292 2095681 690 512925 2605281 691 498831 2252573 692 493515 2075523 693 510854 1864678 694 629511 1949752 end format %tm monthyear
Here is the code I have. The last line does not work:
Code:
tsset monthyear vecrank lconsumption lincome, lags(1) vec lconsumption lincome, lags(1) test ([D_lconsumption]: LD.lincome )
". test ([D_lconsumption]: LD.lincome )
LD.lincome not found
"
In the link provided, the code is very similar with 3 lags. I just do not know the syntax to get the short-term Granger causality test to work with one lag. Please help. Thanks.
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