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st: RE: Interpreting A Granger Causality Test


From   "Martin Weiss" <martin.weiss@uni-tuebingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Interpreting A Granger Causality Test
Date   Thu, 4 Sep 2008 13:50:54 +0200

This question falls short in terms of information. What makes you think that
macro data are special with regard to -vargranger-? Show us the estimation
preceding the -vargranger- command. And try 

*********
webuse lutkepohl2, clear
tsset
var dln_inv dln_inc dln_consump if qtr<=tq(1978q4), dfk small
vargranger
*********

from the entry in [TS] as a first "point of entry" to your problem.

HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of O E Hazell
Sent: Thursday, September 04, 2008 1:20 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Interpreting A Granger Causality Test


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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