Search found 1 match
- Wed Oct 14, 2015 8:13 am
- Forum: Econometric Discussions
- Topic: Panel Granger causality using dynamic error correction model
- Replies: 0
- Views: 2244
Panel Granger causality using dynamic error correction model
Hi. I'm in trouble to estimate Panel GMM (Arellano and Bond, 1991). I am trying to estimate Granger causality. For this, I confirmed long-run relationship between variables and extracted ECT using FMOLS. I wonder how to estimate this variables. My questions are followed: 1. All variables are non-sta...