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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 14:44:13 +0200

This is considerably clearer now. I do not want to stick my neck out too far
on this as I am not currently active in time series analysis. But you plug
in the endogenous variables when you estimate -var-. -vargranger-
subsequently tests whether the lags of an endogenous variable have
coefficients equal to zero. So the null is that the variable in the
-excluded- column does not Granger-cause the variable in the first column,
and you decide according to the p-value in the last column whether you want
to reject it or not.
But I am still not sure what the macro-aspect of your question really is...

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 1:58 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Interpreting A Granger Causality Test

Hi,

Sorry im really confused. This is the regression proceeeding the
'vargranger'
command. I need help in establishing the causality between inj_killed and
pc_growth and whether or not there is a problem of endogeneity. Apologises
if i
have not provided enough information, but im a bit of a novice on STATA.



Vector autoregression

Sample:  3 - 26, but with a gap                    No. of obs      =
22
Log likelihood = -256.7925                         AIC             =
28.34477
FPE            =   2300059                         HQIC            =
28.98731
Det(Sigma_ml)  =  9465.263                         SBIC            =
31.07238

Equation           Parms      RMSE     R-sq      chi2     P>chi2
----------------------------------------------------------------
inj_killed           11      386.21   0.9690   688.8212   0.0000
pc_growth            11      3.6123   0.5771   30.01605   0.0009
pc_growth2           11     31.5582   0.7244   57.83593   0.0000
unemp                11     1.06713   0.6387   38.89844   0.0000
pop                  11     .372072   1.0000    2597964   0.0000
----------------------------------------------------------------
----------------------------------------------------------------------------
--
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
inj_killed   |
  inj_killed |
         L1. |   .6884843   .3727408     1.85   0.065    -.0420743
1.419043
         L2. |  -.8173018   .3393402    -2.41   0.016    -1.482396
-.1522072
   pc_growth |
         L1. |  -50.08742   52.40483    -0.96   0.339     -152.799
52.62415
         L2. |  -9.567781   45.75188    -0.21   0.834    -99.23981
80.10425
  pc_growth2 |
         L1. |  -21.78274   9.876873    -2.21   0.027    -41.14106
-2.424424
         L2. |  -9.620566   7.427822    -1.30   0.195    -24.17883
4.937698
       unemp |
         L1. |  -42.42677   65.74972    -0.65   0.519    -171.2939
86.44032
         L2. |   74.19683   59.58913     1.25   0.213    -42.59572
190.9894
         pop |
         L1. |  -3027.476   1138.476    -2.66   0.008    -5258.847
-796.1037
         L2. |   3079.334   1156.023     2.66   0.008     813.5704
5345.097
       _cons |   183.5088   410.8992     0.45   0.655    -621.8389
988.8565
-------------+--------------------------------------------------------------
--
pc_growth    |
  inj_killed |
         L1. |  -.0039303   .0034863    -1.13   0.260    -.0107634
.0029027
         L2. |   .0066452   .0031739     2.09   0.036     .0004244
.0128659
   pc_growth |
         L1. |   .4264278   .4901518     0.87   0.384    -.5342521
1.387108
         L2. |   -.543496   .4279256    -1.27   0.204    -1.382215
.2952227
  pc_growth2 |
         L1. |   .2971216   .0923802     3.22   0.001     .1160598
.4781835
         L2. |    .166061   .0694738     2.39   0.017      .029895
.3022271
       unemp |
         L1. |  -.2163338    .614969    -0.35   0.725    -1.421651
.9889833
         L2. |  -.0960004   .5573479    -0.17   0.863    -1.188382
.9963814
         pop |
         L1. |   17.65824   10.64837     1.66   0.097    -3.212182
38.52867
         L2. |  -17.97592   10.81249    -1.66   0.096    -39.16801
3.216173
       _cons |   .7399578   3.843215     0.19   0.847    -6.792605
8.27252
-------------+--------------------------------------------------------------
--
pc_growth2   |
  inj_killed |
         L1. |   .0518557   .0304576     1.70   0.089      -.00784
.1115514
         L2. |  -.0792905   .0277283    -2.86   0.004     -.133637
-.024944
   pc_growth |
         L1. |  -2.705434   4.282126    -0.63   0.528    -11.09825
5.687379
         L2. |   3.600135   3.738498     0.96   0.336    -3.727185
10.92746
  pc_growth2 |
         L1. |  -2.168511   .8070634    -2.69   0.007    -3.750326
-.5866956
         L2. |  -1.492206   .6069455    -2.46   0.014    -2.681797
-.3026142
       unemp |
         L1. |   -2.73252    5.37257    -0.51   0.611    -13.26256
7.797524
         L2. |   3.072862   4.869174     0.63   0.528    -6.470543
12.61627
         pop |
         L1. |  -74.37683   93.02765    -0.80   0.424    -256.7077
107.954
         L2. |   76.32391   94.46145     0.81   0.419    -108.8171
261.4649
       _cons |   12.62666   33.57558     0.38   0.707    -53.18027
78.43359
-------------+--------------------------------------------------------------
--
unemp        |
  inj_killed |
         L1. |  -.0009799   .0010299    -0.95   0.341    -.0029985
.0010387
         L2. |   .0003091   .0009376     0.33   0.742    -.0015286
.0021468
   pc_growth |
         L1. |   .1029489   .1447987     0.71   0.477    -.1808513
.3867491
         L2. |  -.0694429   .1264161    -0.55   0.583    -.3172138
.178328
  pc_growth2 |
         L1. |  -.0805311   .0272906    -2.95   0.003    -.1340197
-.0270426
         L2. |  -.0381459   .0205237    -1.86   0.063    -.0783715
.0020797
       unemp |
         L1. |   -.103531   .1816717    -0.57   0.569     -.459601
.2525389
         L2. |   .4107279   .1646495     2.49   0.013     .0880208
.733435
         pop |
         L1. |  -8.877161   3.145699    -2.82   0.005    -15.04262
-2.711704
         L2. |   9.019482   3.194183     2.82   0.005     2.758998
15.27996
       _cons |   4.184864   1.135347     3.69   0.000     1.959625
6.410104
-------------+--------------------------------------------------------------
--
pop          |
  inj_killed |
         L1. |  -.0005293   .0003591    -1.47   0.140    -.0012331
.0001745
         L2. |   .0008443   .0003269     2.58   0.010     .0002035
.001485
   pc_growth |
         L1. |   .0276005   .0504864     0.55   0.585     -.071351
.1265519
         L2. |  -.0310977    .044077    -0.71   0.480    -.1174869
.0552916
  pc_growth2 |
         L1. |   .0249982   .0095153     2.63   0.009     .0063486
.0436479
         L2. |   .0182721   .0071559     2.55   0.011     .0042468
.0322974
       unemp |
         L1. |   .0435747   .0633427     0.69   0.492    -.0805747
.1677242
         L2. |  -.0632371   .0574077    -1.10   0.271     -.175754
.0492799
         pop |
         L1. |   2.542719   1.096798     2.32   0.020     .3930348
4.692404
         L2. |  -1.559705   1.113702    -1.40   0.161    -3.742522
.6231119
       _cons |  -.0250796   .3958568    -0.06   0.949    -.8009447
.7507855
----------------------------------------------------------------------------
--

. 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    |
  +------------------------------------------------------------------+


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