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Re: st: RE: granger.ado


To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: granger.ado
From   "Tobias Rehbock" <rehbock@mail.uni-greifswald.de>
Date   Thu, 6 Jun 2002 09:13:27 +0200
An   statalist@hsphsun2.harvard.edu
Betreff   st: RE: granger.ado
Datum   Wed, 5 Jun 2002 11:42:42 -0400
In-reply-to   <8FE0C0F75C0AD41180080600000000000597EDFC@MB-BP-03>
Organization   Ernst-Moritz-Arndt-Universitšt Greifswald
Reply-to   statalist@hsphsun2.harvard.edu
Sender   owner-statalist@hsphsun2.harvard.edu
Von   Joly.Patrick@ic.gc.ca

Antwort an:     	statalist@hsphsun2.harvard.edu

> Tobias wrote,
> > From: Tobias Rehbock [mailto:rehbock@mail.uni-greifswald.de]
> > 
> > I have a problem using the granger causality test in Stata 
> > 6.0. I've testet two time series named DD and DUS using 
> > the command-line:
> > 
> > granger DD DUS, lags(2)
> > 
> > and, alternativly
> > 
> > granger DD DUS, lags(3)
> > 
> > For the first case, I received F=5,98 and p=0,0032 and for 
> > the second case F=5,45 and p=0,0014. But there must 
> > be a mistake, because it is not possible, that the second 
> > F-value ist smaller than the first while the second p-value 
> > also ist smaller than the first.
> > Then I tried the same test with another software (EViews4) 
> > and the results were amazing: there were not only other 
> > F- and p-Values, but the found causalities were the other way round.
> > 
> > My questions are: Where is my mistake? And: Is it possible, 
> > that granger.ado doesn't work well?
> 
> There are several inconsistencies in the code of granger.ado.  For starters,
> granger.ado misreports the results of the tests as the:
>       Granger Causality test ...  var1   --->    var2
> 
> when the code is in fact testing the reverse relationship whether var2 could
> be said to Granger cause var1.  I cut and pasted a new file, granger2.ado,
> which contains my suggested changes.  I commented out the lines of
> granger.ado which had to be modified, followed by my modifications -- which
> appear un-indented.  Granger2.ado should correspond to the Eviews output and
> is also consistent with the causality test when typed interactively (see
> below)

A lot of thanks!!!!!!!!!!!!!! It works! You are really a hero. Perhaps you should send granger2.ado to the stata download 
site. Thank you very much.

Tobias
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