Granger Causality with Error Correction Term (ECT)
Posted: Mon Nov 04, 2013 6:54 am
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!
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!