Dear all,
I'm a new user of Statalist so probably I am creating this post in the wrong way/section. I am sorry for this in advance.
I'm struggling on the application of the Hsiao's methodology to test the causality between two variables. In particular, I don't find the way of obtaining the FPE from a VEC model. While it is displayed when using a VAR model (for not cointegrated variables), I cannot get it from the VEC model I am instead using when the variables are cointegrated. I know that proably the solution is in the use of the command VARSOC, but still I don't know how properly use it as poestimation command after the VEC model.
I am sorry if the question may appear confused, but any comment would be helpful.
Many thanks in advance,
Liv
Hsiao's methodology (1981) aims to determine, in a sequential way, the optimal lag length to then use in the causality test.
I'm a new user of Statalist so probably I am creating this post in the wrong way/section. I am sorry for this in advance.
I'm struggling on the application of the Hsiao's methodology to test the causality between two variables. In particular, I don't find the way of obtaining the FPE from a VEC model. While it is displayed when using a VAR model (for not cointegrated variables), I cannot get it from the VEC model I am instead using when the variables are cointegrated. I know that proably the solution is in the use of the command VARSOC, but still I don't know how properly use it as poestimation command after the VEC model.
I am sorry if the question may appear confused, but any comment would be helpful.
Many thanks in advance,
Liv
Hsiao's methodology (1981) aims to determine, in a sequential way, the optimal lag length to then use in the causality test.
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