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st: Interpreting A Granger Causality Test


From   O E Hazell <ecp07oeh@sheffield.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Interpreting A Granger Causality Test
Date   Thu, 4 Sep 2008 12:19:43 +0100

Hi

I have run the following granger test but im not very familiar with using macro
data, so i am unsure as how to interpret the results. Do the results suggest
endogeneity? Should the lag of pc_growth be used rather than current
pc_growth.

. vargranger

   Granger causality Wald tests
  +------------------------------------------------------------------+
  |          Equation           Excluded |   chi2     df Prob > chi2 |
  |--------------------------------------+---------------------------|
  |        inj_killed          pc_growth |  1.0731     2    0.585    |
  |        inj_killed         pc_growth2 |  4.8658     2    0.088    |
  |        inj_killed              unemp |  1.6206     2    0.445    |
  |        inj_killed                pop |  11.794     2    0.003    |
  |        inj_killed                ALL |  117.98     8    0.000    |
  |--------------------------------------+---------------------------|
  |         pc_growth         inj_killed |    6.78     2    0.034    |
  |         pc_growth         pc_growth2 |  10.664     2    0.005    |
  |         pc_growth              unemp |  .21308     2    0.899    |
  |         pc_growth                pop |  6.8881     2    0.032    |
  |         pc_growth                ALL |  26.169     8    0.001    |
  |--------------------------------------+---------------------------|
  |        pc_growth2         inj_killed |  11.296     2    0.004    |
  |        pc_growth2          pc_growth |  1.1352     2    0.567    |
  |        pc_growth2              unemp |  .50434     2    0.777    |
  |        pc_growth2                pop |  17.398     2    0.000    |
  |        pc_growth2                ALL |  55.601     8    0.000    |
  |--------------------------------------+---------------------------|
  |             unemp         inj_killed |  2.1026     2    0.349    |
  |             unemp          pc_growth |  .68276     2    0.711    |
  |             unemp         pc_growth2 |  8.7176     2    0.013    |
  |             unemp                pop |  8.6597     2    0.013    |
  |             unemp                ALL |  23.873     8    0.002    |
  |--------------------------------------+---------------------------|
  |               pop         inj_killed |  9.6661     2    0.008    |
  |               pop          pc_growth |  .67368     2    0.714    |
  |               pop         pc_growth2 |  8.3789     2    0.015    |
  |               pop              unemp |  1.3414     2    0.511    |
  |               pop                ALL |   25.71     8    0.001    |
  +------------------------------------------------------------------+

Any help would be much appreciated.

Oli 
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