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From |
Merijn Groenenboom <m.groenenboom@students.uu.nl> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Granger causality test in Stata10 |

Date |
Mon, 8 Aug 2011 11:59:06 +0200 |

Dear Anees, Thanks again for your help. I really appreciate it that you keep helping me. It is very important for me since I am writing my masterthesis and I completed the whole thesis, except for this last granger causality test. Furthermore the deadline is almost there, so I am a little bit stressed at the moment. So thanks a lot for all the help! I followed all your tips, but I still did not succeed in completing the test. I added all the new variales. However, I do not think the problem was with the lags. Even when I only use the following command after the vec model: test (d.lexr=0) I get an error with: regressor d.lexr not found. Are you sure you can do granger causality test with a VEC model in Stata? I have the feeling that it is not possible to use the command function test after creating a VEC model. Thanks in advance! MerijnG 2011/8/8 Muhammad Anees <anees@aneconomist.com>: > Sorry to mention, use the previous command with the newly created > lag1xvar and lag2xvar etc. > > On Sun, Aug 7, 2011 at 9:19 PM, Merijn Groenenboom > <m.groenenboom@students.uu.nl> wrote: >> Thanks again Anees! I feel I am very close now... >> >> My vec regression now is: >> >> vec d.lstp d.lexr l.d.lexr l2.d.lexr d.lsint l.d.lsint l2.d.lsint >> d.lip l.d.lip l2.d.lip d.lur l.d.lur l2.d.lur d.lyie l.d.lyie >> l2.d.lyie d.loil l.d.loil l2.d.loil d.lcon l.d.lcon l2.d.lcon d.lgold >> l.d.lgold l2.d.lgold d.ltb l.d.ltb l.2.d.ltb d.linf l.d.linf >> l.2.d.linf >> >> After that I want to test for example lexr, as you recommanded: >> >> test (d.lexr=0) (l.d.lexr=0) (l2.d.lexr=0) >> >> However then Stata10 sais: >> d.lexr not found >> >> How is this possible? >> >> Thanks in advance for your reply! >> >> MerijnG >> >> 2011/8/6 Muhammad Anees <anees@aneconomist.com>: >>> 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 >>> <m.groenenboom@students.uu.nl> 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 <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/ >>>> >>> >>> >>> >>> -- >>> >>> >>> Regards >>> >>> Anees >>> >>> * >>> * 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/ >> > > > > -- > > > Regards > > Anees > > * > * 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/

**Follow-Ups**:**Re: st: Granger causality test in Stata10***From:*Muhammad Anees <anees@aneconomist.com>

**References**:**st: Granger causality test in Stata10***From:*Merijn Groenenboom <m.groenenboom@students.uu.nl>

**Re: st: Granger causality test in Stata10***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: Granger causality test in Stata10***From:*Merijn Groenenboom <m.groenenboom@students.uu.nl>

**Re: st: Granger causality test in Stata10***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: Granger causality test in Stata10***From:*Merijn Groenenboom <m.groenenboom@students.uu.nl>

**Re: st: Granger causality test in Stata10***From:*Muhammad Anees <anees@aneconomist.com>

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