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Re: st: Granger causality test in Stata10


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Granger causality test in Stata10
Date   Fri, 5 Aug 2011 08:08:39 +0500

Granger causality is tested using F or Modiffied Wald Chi2
statistitic. You can try the -test- command on the respective
variables after your regression command.

vec yvar xvar1with lags xvar2withlags xvar3withlags
test xvar1withlags

will give you the causality statistic for xvar1 and its included lag.
This way you have to keep mind the routine of hypothesis for Granger
causality

Hope It explains the answer

Anees

On Thu, Aug 4, 2011 at 1:07 PM, Merijn Groenenboom
<m.groenenboom@students.uu.nl> wrote:
> 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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