On Sunday, Brandon <

[hidden email]> posted a question on Granger causality

containing the following statement:

> -test- cannot be used after vec

Tirthankar [

[hidden email]] provided a link that includes

comments and also code with one solution to Brandon's question. The code

uses the -test- command after fitting a model with -vec-.

I would like to emphasize that -test- is a valid postestimation command

after using -vec to estimate the parameters of a vector error correction

(VEC) model.

Here is a short code where I use -test- to perform a Wald test after

fitting the VEC model in the first example of the entry for -vec- on the

time-series manual:

use

http://www.stata-press.com/data/r11/rdincvec ln_ne ln_se

test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0

And the output for the last command:

. test [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0

( 1) [D_ln_ne]LD.ln_ne + [D_ln_ne]LD.ln_se = 0

chi2( 1) = 0.13

Prob > chi2 = 0.7167

--Gustavo Sanchez

[hidden email]
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