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st: Granger Causality Test after regress different from vargranger


From   Martin Baumann <mokmok@gmx.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: Granger Causality Test after regress different from vargranger
Date   Thu, 09 Jul 2009 11:34:04 +0200

Dear all

When testing for Granger Causality I get slightly different p-values when using a regress and test command (approach1) as opposed to using a var and vargranger command (approach2). Are these two approaches identical as the Time Series Manuals suggests or is there a theoretical difference between the two? If yes, which one would be preferrable in a single equation framework?

Thanks a lot for any help. Best regards,

Martin


Approach 1: Classical Granger Causality Test
-------------------------------------------------------------------
reg  d.Variable1   D.L(1/10).Variable2  D.L(1/10).Variable1

test  D.L.Variable2   D.L2.Variable2    ....     D.L10.Variable2


Approach 2: Granger Test with var-command
---------------------------------------------------------------------
var d.Variable1 d.Variable2, lags(1/10)
vargranger





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