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st: help on granger causality


From   Rashmi Shankar <rashmi@brandeis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: help on granger causality
Date   Mon, 27 Jun 2005 16:56:32 -0400

Hi, all: After running a var in first differences, 4 lags, I use vargranger to
run a pair-wise causality test. The output is as follows. How do I interpret
the causality test result?

. var  bp_level lnpetrol lndomcred if cnum==1,lags(1/4)

Vector autoregression

Sample:  1979q2   1989q3                           No. of obs      =        42
Log likelihood =  293.2083                         AIC             = -12.10515
FPE            =  1.18e-09                         HQIC            = -11.51372
Det(Sigma_ml)  =  1.73e-10                         SBIC            =  -10.4916

Equation           Parms      RMSE     R-sq      chi2     P>chi2
----------------------------------------------------------------
bp_level             13     .005725   0.9997   137124.4   0.0000
lnpetrol             13     .119025   0.8814   312.1472   0.0000
lndomcred            13     .042558   0.9677   1258.441   0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
bp_level     |
bp_level     |
           L1 |   3.470418   .0607476    57.13   0.000     3.351355    3.589481
           L2 |  -4.980123    .164283   -30.31   0.000    -5.302112   -4.658135
           L3 |   3.442603    .164314    20.95   0.000     3.120553    3.764652
           L4 |  -.9433738   .0608566   -15.50   0.000    -1.062651    -.824097
lnpetrol     |
           L1 |   .0141815   .0077691     1.83   0.068    -.0010457    .0294087
           L2 |  -.0008675   .0107947    -0.08   0.936    -.0220247    .0202897
           L3 |  -.0080828   .0108161    -0.75   0.455    -.0292819    .0131163
           L4 |  -.0118649   .0082324    -1.44   0.150    -.0280001    .0042703
lndomcred    |
           L1 |   .0171285   .0243042     0.70   0.481    -.0305068    .0647638
           L2 |    .017975    .028331     0.63   0.526    -.0375528    .0735028
           L3 |  -.0105865   .0286135    -0.37   0.711    -.0666678    .0454949
           L4 |  -.0475098   .0278142    -1.71   0.088    -.1020247    .0070051
_cons        |   .6082876   1.029147     0.59   0.554    -1.408804    2.625379
-------------+----------------------------------------------------------------
lnpetrol     |
bp_level     |
           L1 |  -2.315692   1.262873    -1.83   0.067    -4.790878    .1594945
           L2 |   6.521216   3.415258     1.91   0.056     -.172567      13.215
           L3 |  -5.864478   3.415903    -1.72   0.086    -12.55952     .830568
           L4 |   1.734783   1.265141     1.37   0.170    -.7448474    4.214414
lnpetrol     |
           L1 |   .9630611   .1615115     5.96   0.000     .6465044    1.279618
           L2 |  -.2365325   .2244094    -1.05   0.292    -.6763669    .2033018
           L3 |   .4041708   .2248537     1.80   0.072    -.0365344    .8448759
           L4 |  -.4674047   .1711423    -2.73   0.006    -.8028375   -.1319719
lndomcred    |
           L1 |  -1.074795   .5052565    -2.13   0.033    -2.065079   -.0845103
           L2 |   .4495766   .5889704     0.76   0.445    -.7047841    1.603937
           L3 |  -.0584309   .5948414    -0.10   0.922    -1.224299    1.107437
           L4 |   .4619598   .5782267     0.80   0.424    -.6713437    1.595263
_cons        |   7.076683   21.39481     0.33   0.741    -34.85637    49.00973
-------------+----------------------------------------------------------------
lndomcred    |
bp_level     |
           L1 |   .9649799   .4515489     2.14   0.033     .0799603        1.85
           L2 |  -.9779056   1.221149    -0.80   0.423    -3.371313    1.415502
           L3 |   .2451494   1.221379     0.20   0.841     -2.14871    2.639009
           L4 |   .1724083   .4523597     0.38   0.703    -.7142004    1.059017
lnpetrol     |
           L1 |  -.0636447   .0577495    -1.10   0.270    -.1768317    .0495423
           L2 |   .0321776   .0802391     0.40   0.688    -.1250881    .1894434
           L3 |  -.0746875    .080398    -0.93   0.353    -.2322647    .0828896
           L4 |  -.0128049   .0611931    -0.21   0.834    -.1327412    .1071314
lndomcred    |
           L1 |     .69025   .1806579     3.82   0.000      .336167    1.044333
           L2 |  -.2540985   .2105904    -1.21   0.228     -.666848     .158651
           L3 |   .0903006   .2126896     0.42   0.671    -.3265634    .5071645
           L4 |  -.1031097   .2067489    -0.50   0.618    -.5083301    .3021107
_cons        |    15.0045   7.649859     1.96   0.050     .0110564    29.99795
------------------------------------------------------------------------------

. vargranger

    Granger causality Wald tests
   +------------------------------------------------------------------+
   |          Equation           Excluded |   chi2     df Prob > chi2 |
   |--------------------------------------+---------------------------|
   |          bp_level           lnpetrol |  14.108     4    0.007    |
   |          bp_level          lndomcred |  6.0917     4    0.192    |
   |          bp_level                ALL |  19.279     8    0.013    |
   |--------------------------------------+---------------------------|
   |          lnpetrol           bp_level |  5.9199     4    0.205    |
   |          lnpetrol          lndomcred |  5.4121     4    0.248    |
   |          lnpetrol                ALL |  10.121     8    0.257    |
   |--------------------------------------+---------------------------|
   |         lndomcred           bp_level |   49.78     4    0.000    |
   |         lndomcred           lnpetrol |  7.3881     4    0.117    |
   |         lndomcred                ALL |  57.215     8    0.000    |
   +------------------------------------------------------------------+

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