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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 09:13:28 +0200
An   <statalist@hsphsun2.harvard.edu>
Betreff   st: RE: granger.ado
Datum   Wed, 5 Jun 2002 13:05:05 +0100
In-reply-to   <EDEPKKNLOHMHPACNBOJEOELACDAA.n.j.cox@durham.ac.uk>
Organization   Ernst-Moritz-Arndt-Universitšt Greifswald
References   <3CFDC83B.14062.21426D@localhost>
Reply-to   statalist@hsphsun2.harvard.edu
Sender   owner-statalist@hsphsun2.harvard.edu
Von   "Nick Cox" <n.j.cox@durham.ac.uk>

Antwort an:     	statalist@hsphsun2.harvard.edu

> Tobias Rehbock 
> 
> > 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.
> 
> Not quite. Remember that the F distribution depends on two 
> separate numbers of degrees of freedom. If the numerator 
> and denominator df differ, this is possible. 
Oh, you are right! Thank you very much.

> 
> > 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?
> > 
> 
> -granger- was published in STB-51. One substantial bug in it, 
> if I read the code correctly, is 
> that while the syntax permits -if- and -in-, the regressions 
> within are always performed for all possible observations. 
> 
> I guess this doesn't explain your problem, but it needs 
> fixing. 
> 
> I suggest that you send your data and the precise EViews 
> output to the program author. 

I also think, this would be the correct way and I've done this yesterday. In the meantime I got another answer from 
the statalist with a new granger-test (granger2.ado by Joly Patrick) and it seems to be the right one. I think, you red 
it, too.

Thank you very much for your help! Tobias
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