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st: Re: gcause
From
Christopher Baum <[email protected]>
To
r_sbia <[email protected]>
Subject
st: Re: gcause
Date
Wed, 2 Oct 2013 14:41:43 +0000
I see no problem:
. ssc inst gcause
checking gcause consistency and verifying not already installed...
installing into /Users/baum/Library/Application Support/Stata/ado/plus/...
installation complete.
. webuse grunfeld,clear
. gcause2 invest mvalue if company==5, lags(2) regress
Granger causality test Sample: 1937 to 1954
obs = 18
H0: mvalue does not Granger-cause invest
F( 2, 13) = 5.53
Prob > F = 0.0183
chi2(2) = 15.32 (asymptotic)
Prob > chi2 = 0.0005 (asymptotic)
Source | SS df MS Number of obs = 18
-------------+------------------------------ F( 4, 13) = 5.12
Model | 2262.37632 4 565.594081 Prob > F = 0.0106
Residual | 1435.08208 13 110.390929 R-squared = 0.6119
-------------+------------------------------ Adj R-squared = 0.4924
Total | 3697.4584 17 217.497553 Root MSE = 10.507
------------------------------------------------------------------------------
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
invest |
L1. | -.3284522 .3034551 -1.08 0.299 -.984027 .3271226
L2. | -.3382965 .2898293 -1.17 0.264 -.9644347 .2878417
|
mvalue |
L1. | .2019076 .0953418 2.12 0.054 -.0040658 .4078809
L2. | .0754127 .1190404 0.63 0.537 -.1817585 .3325838
|
_cons | 41.713 14.39976 2.90 0.012 10.60422 72.82178
------------------------------------------------------------------------------
gcause2 does not have a help file because it is the same command as gcause. It just allows application to a single panel unit, which gcause does not.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
On Oct 1, 2013, at 2:17 AM, r_sbia <[email protected]> wrote:
> Dear Professor,
> I hope this email finds well. I am trying to use your gcause routine. The new version includes gcause2 command to be used for panel. However the gcause2 has no help file and when I use it iam having error message "option/required". My command line is:
> Gcause2 var1 var2 if company! =1, lag (#) regress.
> Thank you in advance
> Ps: the data set is panel (invest2) and I tsset the data.
>
>
> Sent from Samsung Mobile
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