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st: Granger causality test in Stata10


From   Merijn Groenenboom <m.groenenboom@students.uu.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: Granger causality test in Stata10
Date   Thu, 4 Aug 2011 10:07:55 +0200

Dear Statalisters,

I am writing a research about the effect of economic indicators on stock prices.
Granger causality test is one of the tests I want to use.
I started with the following command in Stata10:

quietly var d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.lm1 d.loil d.lcon
d.lgold d.ltb d.linf, lags(1/2)
vargranger

However the results showed spurious results, since all variables are
only stationary at first differences and cointegration exists
I should use a vec model instead of a var model.
So I used the following command:
vec d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.lm1 d.loil d.lcon
d.lgold d.ltb d.linf, lags(1/2)

However I am not sure about the next step. How does Stata show me the
results of granger causality test now?
Or did I already make a mistake before?

Thank you.

Merijn G
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