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Re: st: How to run Granger Causality Test?


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to run Granger Causality Test?
Date   Mon, 07 Jul 2008 22:02:59 -0400

On Jul 7, 2008, at 6:23 AM, sn_shimul@bracu.ac.bd wrote:

Hi,
I cannot run the granger causality test,because I found some problem in
the command of estimate store. Can anyone help me how to perform it?
I want to test GC upto 3 lags. How it can be performed?
Any help in this regard will be highly appreciated.
Your discussion of "some problem" is vague, particularly as -est store- is not necessary for a Granger causality test.

A Granger (Non-)causality test is just an F-test on the lags of a second variable in the regression of a first variable on its own lags and lags of the second variable. This can be accomplished in Stata in a variety of ways, including the -vargranger- command and from first principles.

This question has popped up from time to time on Statalist before; as the FAQ recommends you should search the list archives before posting a question. For your particular concern, see, for example:

<http://www.stata.com/statalist/archive/2005-06/msg00847.html>
<http://www.stata.com/statalist/archive/2007-03/msg00088.html>
<http://www.stata.com/statalist/archive/2007-07/msg00539.html>

Hope this helps.

-- Mike
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