How to carry out conditional Granger causality test via ECMs to detect the causality direction between regressand and regressors?

22 November 2022 0 5K Report

How to estimate long-term coefficients, error-correction terms (ECTs) and causality parameters? The level coefficients, coefficients of ECTs and t-ratios for ECTs in conditional Granger causality tests as a long-term estimation.

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