Help in Granger casuality - VECM model

[Frank Blizzard]

Hello guys. Is there an option to do Granger casuality test after doing a VECM model?

I see such option on VAR diagnostics and tests but not VEC. Please tell me If I am doing VECM model properly:

-lag order selection for VEC/VAR model for variables D.lfw20 D.lw20 (which is ln(fw20 and w20 - these are spot and futures for index market prices). Working on those variables because later im doing dcc-garch

-the AIC, SBIC, HQIC criteria says 4 is best fit
-vector error-correction model
-number of cointegrating equations(rank) - 1
-maximum lag 4 as criterias sasys
-depended variables are ones listed above (D.lfw20, D.lw20)
-trend constant (default)

How to test Granger Casuality in this model? If its gonna be vecm dcc-garch it cant be Granger casuality test from var model, can it?

[Beatriz Torrinha]

They are no VEC diagnostic test entailing granger causality that I am aware of. But one can test for the short run causality (also known as weak Granger causality) by means of an F test to access the joint significance of the lagged differences on the dependent variable. To test for long run causality (strong Granger causality) one can do an F test to access the joint significance of the ECM term + lagged variables in each VECM.