Granger Causality with Error Correction Term (ECT)

[dwinfra]

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 be a different and more efficient way than specifying the equations one by one and then calculating the F-test manually....

Thank you very much in advance!