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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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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