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Re: st: Granger causality test in Stata10


From   Muhammad Anees <[email protected]>
To   [email protected]
Subject   Re: st: Granger causality test in Stata10
Date   Sat, 6 Aug 2011 10:55:45 +0500

For example you want to include lags into the system, your command should appear

vec yvar d.xvar1 l.d.xvar l2.d.xvar d.xvar2 l.d.xvar2 l2.d.xvar and so on
test granger causality using

test (d.xvar1=0) (l.d.xvar=0) (l2.d.xvar=0) and so on for other set of xvars.


On Fri, Aug 5, 2011 at 3:21 PM, Merijn Groenenboom
<[email protected]> wrote:
> 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 <[email protected]>:
>> 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
>> <[email protected]> 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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>>
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-- 


Regards

Anees

*
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