Re: st: Stata 12: wish list

[Robert A Yaffee <bob.yaffee@nyu.edu>]

Cosimo,
   I think you are correct in that the Toda-Yamamoto version of the Granger
causality test would be a useful addition to Stata.
  - Robert
 

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: Robert A Yaffee <bob.yaffee@nyu.edu>
Date: Tuesday, November 2, 2010 11:37 am
Subject: Re: st: Stata 12: wish list
To: statalist@hsphsun2.harvard.edu


> Cosimo,
>    I would not think that volume is a good proxy for 
> volatility.  They seem to me very different, although
> there may be a relationship between them.
>    Granger causality tests linear relationships for precedence.
>    If you want to test for nonlinear relationships, there are many
> functional forms to examine before you can say that there is no 
> nonlinear 
> relationship.  Granger causality has generally been applied in
> bivariate examples.
>    But you might try to apply this to multiple causality by adding
> additional variables to the tests.  Do you know that you
> have all relevant factors in their proper functional forms included?
> Moreover, there may be a nonlinear or linear relationship on a 
> sampling 
> frequency that you have not tested. How do you know that there is 
> not some indirect relationship but not a direct relationship?  Do
> you know that you have tested all of the lags necessary to assure
> no long run as well as short run precedence?
>    I presume that these limitations are why the topic is 
> called Weiner-Granger causality.
>    Regards,
>        Robert
> 
> 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: cmagazzino@uniroma3.it
> Date: Tuesday, November 2, 2010 8:42 am
> Subject: Re: st: Stata 12: wish list
> To: statalist@hsphsun2.harvard.edu
> Cc: statalist@hsphsun2.harvard.edu
> 
> 
> > Dear Robert,
> > a lot of papers refer to linear and non linear Granger-causality 
> test. 
> > A
> > very simple research on Google might show this. As an example, look 
> at
> > this link, among the others:
> > 
> > http://www.jstor.org/pss/2329266
> > 
> > Another problem that I have with Stata is how perform a causality test
> > after a VCEM instead of a VAR.
> > As regard to panel, Stata is very powerful, but actually we can't 
> have 
> > a
> > clear routine on DOLS, FMOLS and Canonical Cointegrating Regressions.
> > Finally, I think that Stata doesn't perform Toda and Yamamoto 
> > causality test.
> > 
> > Thanks a lot in advance for Your suggestions and advices!
> > 
> > -- 
> > COSIMO MAGAZZINO
> > DIPES
> > School of Political Sciences
> > Roma Tre University
> > Via G. Chiabrera 199, 00145, RM
> > tel.: +39 0657335347
> > fax: +39 0657335282
> > 
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