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RE: st: RE: VAR or VEC model


From   Ihtesham Afzal <ihtesham_afzal@hotmail.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: VAR or VEC model
Date   Tue, 25 Aug 2009 08:54:58 +0100

Hello Robert.
Thank you for your reply/
I used the -vargranger- command. 
After fitting the -var- model to the data, i.e. var ftse100 m4 inflation interest_rate oil_price, I did the -vargranger- command and got a table giving the granger causality of all variables. Is this the rght thing to do even when I'm only interest in what ganger causes the ftse100 index and ehat does the ftse100 index granger cause? ie. I'm not interested in whether oil_price granger causes m4.
Kind Regards.
Ihtesham

----------------------------------------
> From: bob.yaffee@nyu.edu
> To: statalist@hsphsun2.harvard.edu
> Date: Mon, 24 Aug 2009 20:47:26 -0400
> Subject: Re: st: RE: VAR or VEC model
>
> Ihtesham,
> Use the vargranger command after executing the var command.
> Otherwise, you can set it up manually without too much trouble.
> Regards,
> Bob Yaffee
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
>
> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: Clive Nicholas 
> Date: Monday, August 24, 2009 7:53 pm
> Subject: Re: st: RE: VAR or VEC model
> To: statalist@hsphsun2.harvard.edu
>
>
>> Ihtesham Afzal wrote:
>>
>>> Thank you for your reply.
>>> All of the variables are integrated of the same order (i.e I(1))
>>> How do I run the granger causality test? Do I run the regression of
>> one variable on the other with appropriate lags and then do an f-test
>> to test whether these lags of the indepndent variable are equal to
>> zero? And what command tdo I use to see what lag length to use -> I
>> used -varsoc- is that right?
>>> And then do this separately for all variables?
>>
>> -help vargranger-
>>
>> --
>> Clive Nicholas
>>
>> [Please DO NOT mail me personally here, but at
>> . Please respond to contributions I make in
>> a list thread here. Thanks!]
>>
>> "My colleagues in the social sciences talk a great deal about
>> methodology. I prefer to call it style." -- Freeman J. Dyson.
>>
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