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Re: st: Regressing ranked variables for causality testing


From   Happy Phiri <hapephiri@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Regressing ranked variables for causality testing
Date   Tue, 23 Apr 2013 07:48:11 -0700 (PDT)

 
Holmes, J.M., & Hutton, P.A. (1990a). On the causal relationship between government expenditure and national income. Reviews of Economics Statistics, 72(1), 87-95.
Holmes, J.M., & Hutton, P.A. (1990b). Small sample properties of the multiple rank F-test with lagged dependent variables. Economics Letters, 33, 55-61.

the moethod was also usein this paper:
Wan Kyu Park, (1998). Granger Causality between Government Revenues and Expenditures in Korea. Journal of Economic Development, 23(1), 145-155.
 
happy
 


----- Original Message -----
> From: JVerkuilen (Gmail) <jvverkuilen@gmail.com>
> To: statalist@hsphsun2.harvard.edu
> Cc: 
> Sent: Tuesday, April 23, 2013 3:26 PM
> Subject: Re: st: Regressing ranked variables for causality testing
> 
> None of us know what that paper is. Please be sure to provide a
> complete reference.
> 
> 
> On Tue, Apr 23, 2013 at 8:48 AM, Happy Phiri <hapephiri@yahoo.com> wrote:
>>  I want to use Multiple Rank F Test as developed by Holmes and Hutton 
> (1990a, 1990b).  To perform the multiple rank test, all the variables
>>  including lagged variables should be transformed to the corresponding
>>  rank representation. the ranked value of each observation is used to test 
> for the causality relationship using the folowing
>> 
>>  R(.)=α+∑δR(.)+∑λR(.)+∑θR(.)+ε
>>  Thanks
>>  Happy
>> 
>> 
>> 
>>  ----- Original Message -----
>>>  From: Nick Cox <njcoxstata@gmail.com>
>>>  To: "statalist@hsphsun2.harvard.edu" 
> <statalist@hsphsun2.harvard.edu>
>>>  Cc:
>>>  Sent: Tuesday, April 23, 2013 1:11 PM
>>>  Subject: Re: st: Regressing ranked variables for causality testing
>>> 
>>>  Ranking is easy enough: see -help egen-.
>>> 
>>>  What that has to do with causality tests I do not know.
>>> 
>>>  Even more crucially, I think you need to spell out precisely which way
>>>  of assessing causality you have in mind, with precise names and
>>>  literature references.
>>> 
>>>  Nick
>>>  njcoxstata@gmail.com
>>> 
>>> 
>>>  On 23 April 2013 07:50, Happy Phiri <hapephiri@yahoo.com> wrote:
>>>>   I have data for 3 variables (time series data) which I would like 
> to rank
>>>  using stata, and then run a regression on rank-transformed variables in 
> order to
>>>  test for causality. How is this done in stata?
>>>  *
>>>  *   For searches and help try:
>>>  *  http://www.stata.com/help.cgi?search
>>>  *  http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/
>>  *  http://www.ats.ucla.edu/stat/stata/
> 
> 
> 
> -- 
> JVVerkuilen, PhD
> jvverkuilen@gmail.com
> 
> “He uses statistics as a drunken man uses lamp-posts – for support
> rather than illumination.”--Andrew Lang
> 
> *
> *   For searches and help try:
> *  http://www.stata.com/help.cgi?search
> *  http://www.stata.com/support/faqs/resources/statalist-faq/
> *  http://www.ats.ucla.edu/stat/stata/
>   

*
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