Search found 2 matches
- Tue Apr 23, 2013 12:51 pm
- Forum: Econometric Discussions
- Topic: Stationarity, Cointegration test and ECM
- Replies: 1
- Views: 3275
Re: Stationarity, Cointegration test and ECM
You need to test AIC or SC and choice lag length is smallest. Example,
- Tue Apr 23, 2013 12:42 pm
- Forum: Econometric Discussions
- Topic: Block Exogeneity
- Replies: 1
- Views: 13360
Re: Block Exogeneity
http://farm9.staticflickr.com/8404/8676355244_5df89ece9b_b.jpg Table 5. VECM Granger Causality/ Block Exogeneity Wald Tests Independent variables Dependent variables ∆WF VALUE ∆REAL GDP ∆PRICE WF ECT ∆WFVALUE - 1.207463 ( 0.5468) 7.413161** (0.0246) 7.650118 (0.1053) ∆REAL GDP 4.371514 (0.1124) - 0...