Introduction to VECM and 3-Ways Causality Checks in Stata

In this video, Dr. Ngozi ADEYELE, PhD, Founder Crunch Econometrix, discusses how to perform Granger causality tests in a VECM framework using Stata. The author covers the different types of Granger causality tests that can be performed, including short-run and long-run causality. The author also provides guidance on how to interpret the results of these tests. Finally, the author emphasizes the importance of conducting diagnostic tests to ensure that the VECM model is correctly specified.

Key points from the video:

The video covers how to perform Granger causality tests in a VECM framework using Stata.
The author discusses the different types of Granger causality tests that can be performed, including short-run and long-run causality.
The author also provides guidance on how to interpret the results of these tests.
Finally, the author emphasizes the importance of conducting diagnostic tests to ensure that the VECM model is correctly specified.

Conclusion

This video provides a helpful overview of how to perform VECM and 3-ways causality checks in Stata. The author covers all the key steps in the process and provides helpful tips for interpreting the results. I would recommend watching this video if you are interested in learning more about VECM modeling.

I hope this article is helpful! Please let me know if you have any questions.

Credit:

To Dr. Ngozi ADEYELE, PhD. Founder Crunch Econometrix

Link:

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Introduction to VECM and 3-Ways Causality Checks in Stata