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- Mon Mar 21, 2011 1:32 am
- Forum: Econometric Discussions
- Topic: causality test in cointegrated VEC
- Replies: 0
- Views: 1557
causality test in cointegrated VEC
Say you have a tri-variate VEC with endogenous x1,x2 and x3 and cointegration rank 2. Hence the equation of x1 would be Dx1 = a11(first cointegration vector) + a12(second cointegration vector) + lagged endogenous similarly the other endogenous would be Dx2 = a21(first cointegration vector) + a22(sec...