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st: pairwise granger causality--error in manual??


From   agfa1970@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   st: pairwise granger causality--error in manual??
Date   Tue, 16 Mar 2010 17:38:28 +0100

Hi everybody,


Why are granger-causality tests only valid in the bivariate framework? I found a lot of times in books like Hamilton's time series analysis the comment that granger-causality tests are only valid in a bivariate framework if tested via a standard F-test.

But the STATA TS manual (Example 1, p. 420) employs a granger-causality test on three variables while its description says "vargranger — Perform pairwise Granger causality tests after var or svar".

I am quite confused now??!!

What does "pairwise" mean?? Should only the "excluded ALL" be used for interpretation?? 

Some addition:

I am into this stuff for a few days and found at http://www.scholarpedia.org/article/Granger_causality that when using bivariate granger causality tests but the data generating process consists of three variables, the results should be interpreted carefully. What I don't get of the scholarpedia article is WHY it is not allowed  to simply use the F-test not in the bivariate but the trivariate setting, then??

Kind regards

Dedder
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