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st: RE: Granger Causality Test after regress different from vargranger


From   DE SOUZA Eric <edesouza@coleurop.be>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Granger Causality Test after regress different from vargranger
Date   Thu, 9 Jul 2009 12:07:29 +0200

The tests you rune below are not identical.

For the regression, the test is an F-test based on the residuals of the
one equation regression. It is not a test of granger non-causality.

For the vargranger test, the test is a Chi-squared test based on the
residuals of both equations of the two equation var system.

In the first case, you should have run a  var and then tested the
coefficients of variable2 in the variable1 equation.

Even then you may not get the same results if Stata produces an F-test
instead of a Chi-squared test in this case. I have not tried it.

Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin
Baumann
Sent: 09 July 2009 11:34
To: statalist@hsphsun2.harvard.edu
Subject: st: Granger Causality Test after regress different from
vargranger

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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