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- Mon Nov 04, 2013 6:54 am
- Forum: Programming
- Topic: Granger Causality with Error Correction Term (ECT)
- Replies: 0
- Views: 1692
Granger Causality with Error Correction Term (ECT)
Hello everybody, I would like to run pairwise Granger Causality tests with cointegrated variables. As an EC-term hat to be included (due to cointegration), I cannot run the ordinary pairwise tests using the .cause-command. Does anyone have an idea how to perform these tests efficiently? There should...