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Re: st: RE: help on granger causality


From   Rashmi Shankar <rashmi@brandeis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: help on granger causality
Date   Tue, 28 Jun 2005 13:14:59 -0400

Thanks, Mike and Gustavo.


Best,



Rashmi


Quoting Gustavo Sanchez <gsanchez@stata.com>:

> Rashmi <rashmi@brandeis.edu> wants to know how to interpret the
> -vargranger-
> output.  Specifically, Rashmi would like to interpret
>
> >. 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    |
> >   +------------------------------------------------------------------+
>
> Variable A is said to Granger cause variable B, if the lags of A can
> improve
> a forecast for variable B.  In a VAR model, under the null hypothesis that
> variable A does not Granger cause variable B, all the coefficients on the
> lags of variable A will be zero in the equation for variable B.  A Wald
> test
> is commonly used to test for Granger causality.
>
> Each row of the above table reports a Wald test that the coefficients on
> the
> lags of the variable in the "excluded" column are zero in the equation for
> the variable in the "equation" column.  For example, the small p-value in
> the first row is evidence that the coefficients on the lags of lnpetrol are
> not jointly zero in the equation for bp_level, indicating that the evidence
> favors the alternative that lnpetrol Granger causes bp_level.
>
> As another example, the second row corresponds to the Wald test that the
> coefficients on the lags of lndomcred in the equation for bp_level are
> jointly zero.  In this case we cannot reject the null hypothesis that
> lndomcred does not Granger cause bp_level.
>
>         --David                 --Gustavo
>           ddrukker@stata.com      gsanchez@stata.com
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


-- 
Rashmi Shankar
Asst. Professor, Department of Economics,
Brandeis International Business School
Brandeis University,
415 South Street,
Waltham, MA 02454
Phone: 781-736-2265
Fax: 781-736-2269
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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