我现在已有VECM,在这种情况下,我选择了view里的Granger Causality/Block Exogeneity Wald Tests 得到如下结果 ,
我想请问,这是对短期的granger causality test 吗? 那对长期的error correction term 哪里可以看出来?
谢谢大家
Dependent variable: D(ATT)
Excluded Chi-sq df Prob.
D(AP) 9.177980 5 0.1022
D(Y) 5.199378 5 0.3920
All 16.43444 10 0.0879
Dependent variable: D(AP)
Excluded Chi-sq df Prob.
D(ATT) 13.37130 5 0.0201
D(Y) 8.926431 5 0.1120
All 27.26241 10 0.0024
Dependent variable: D(Y)
Excluded Chi-sq df Prob.
D(ATT) 20.03262 5 0.0012
D(AP) 2.612612 5 0.7594
All 28.86982 10 0.0013