Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Granger causality test in Stata10


From   Merijn Groenenboom <m.groenenboom@students.uu.nl>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Granger causality test in Stata10
Date   Fri, 5 Aug 2011 12:21:50 +0200

Thanks for the help Muhammad!

Only one more question about the command with the lags:

Lets say my y variable= d.lstp and my x variables are d.lexr and d.lgold.
I use a lag of 3 for both variables.
What should I type in Stata?
vec d.lstp d.lexr.......
How can i include lags in the middle of the regression? What command
should i use?

Thanks in advance for the help!

2011/8/5 Muhammad Anees <anees@aneconomist.com>:
> 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
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index