Hi gyus!
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!
Related Posts with Help Granger Causality test
create and call subroutine from the same .do fileHi, I have a large piece of code that I would like to break down in several smaller pieces of code …
Meta ForestplotHi everyone, I hope someone can help me. When creating a forest of lnRR with the Stata16 new command…
Count the number of global variables defined and input it in another global variableHi, I would like to count the number of global variables defined and input it in another global var…
t-test output table by groupHi all, It may seem a silly question but I'm struggling to create a table with a t test like this o…
Gen. new variables based on values for multiple existing variables, TSCS dataDear members, I have put together a data-set with information about military alliances btw states i…
Subscribe to:
Post Comments (Atom)
0 Response to Help Granger Causality test
Post a Comment