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Re: st: granger causality test
From
Prakash Singh <[email protected]>
To
statalist <[email protected]>
Subject
Re: st: granger causality test
Date
Thu, 27 Mar 2014 18:32:45 +0530
Anderson
I think first you need to test the level of integration of the series and
if the series are found to be stationary at level your way of handling it
is ok but if they are not then probably you need to run the OLS find the
residual term and then re introduce it in the regression and test
of restriction.
Sorry for late reply
Prakash
On Thu, Mar 27, 2014 at 4:00 PM, Prakash Singh <[email protected]> wrote:
> Anderson
> I think first you need to test the level of integration of the series and if
> the series are found to be stationary at level your way of handling it is ok
> but if they are not then probably you need to run the OLS find the residual
> term and then re introduce it in the regression and test of restriction.
>
> Sorry for late reply
>
> Prakash
>
>
> On Tue, Mar 25, 2014 at 4:04 PM, Anderson Macedo de Jesus <[email protected]>
> wrote:
>>
>> Wel… good point Prakash and Eric.
>>
>> After your emails I went deeply and I found out that it is possible to
>> have a Granger causality test by using OLS.
>> So, I can regress ‘y’ on lagged values of ‘y’ and ‘x’.
>>
>> . regress “dep. var" L(1/4).“dep. var" L(1/4).“indep. var"
>> . test L1.“indep. var" L2.“indep. var" L3.“indep. var" L4.“indep. var”
>>
>> Then I get the results.
>> However, I didn’t understand very well how to interpret it.
>> For instance, I think that if the coefficients of the lag of “indep. var”
>> are statistically significant AND different from 0, then it is possible to
>> argue that x Granger-cause y. Am I right?
>> Anyone acquainted with that?
>>
>> Prakash and Eric, thanks for the warning. Otherwise I would be fighting
>> hard to get something from that first question.
>> Warm regards
>> Anderson
>>
>> Anderson Macedo de Jesus
>> PhD Researcher
>> International Institute of Social Studies (ISS)
>> Erasmus University Rotterdam (EUR)
>> Cel number +31 0681415932
>> [email protected]
>> [email protected]
>>
>>
>>
>>
>> On Mar 24, 2014, at 9:01 PM, DE SOUZA Eric <[email protected]>
>> wrote:
>>
>> As Prakash Singh has pointed out, -var- does not work with panel data. The
>> following link may be of interest to you:
>>
>>
>> http://econ.worldbank.org/WBSITE/EXTERNAL/EXTDEC/EXTRESEARCH/0,,contentMDK:22677911~pagePK:64214825~piPK:64214943~theSitePK:469382,00.html
>>
>>
>> Eric de Souza
>> College of Europe
>> Brugge (Bruges), Belgium
>> http://www.coleurope.eu
>>
>>
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Anderson Macedo
>> de Jesus
>> Sent: 24 March 2014 14:22
>> To: [email protected]
>> Subject: Re: st: granger causality test
>> Importance: High
>>
>> Dear Nick,
>>
>> Thanks for your help.
>> You are definitely right when you told me that -ca- was not a suitable
>> panelvar.
>> I have chosen country that was a string variable, but i run -encode- and
>> this was not a problem anymore. Therefore, I used -country1- as my panelvar
>> and -year- as my timevar. (Thanks for your hint on the number I should use
>> in delta. As I understood, I need to use delta 5 because my timevar varies
>> every 5 years) My result was great, since my previous one was telling me
>> that panel variable was "weakly balanced".
>>
>>
>> . tsset country1 year, delta(5)
>> panel variable: country1 (strongly balanced)
>> time variable: year, 1990 to 2010
>> delta: 5 units
>>
>>
>> Now that I have set the data, I tried to run the "vector autoregressive
>> models" and the result was "repeated time values in sample".
>> a) As dependent variable I chose two (pfi_fh and ca)
>> b) Time settings: I used the variable "year" and panel id variable
>> 'country1"
>> b.1) The time unit chosen was "use format of time variable"
>> c) And I included 2 lags
>>
>> My results were:
>> a) 2 lags: "repeated time values in sample"
>> b) 5 lags: "no observations"
>>
>> Therefore, my question is: Where am I failing?
>> Thanks a lot
>> Anderson
>>
>>
>> On Mar 24, 2014, at 1:03 PM, Nick Cox <[email protected]> wrote:
>>
>> Right at the top of the help for -tsset- you get an explanation:
>>
>> Declare data to be time series
>>
>> tsset timevar [, options]
>>
>> tsset panelvar timevar [, options]
>>
>> There are two valid forms. You have panel or longitudinal data, so
>> only the second form is valid for you.
>>
>> In your case, setting a timevar alone doesn't work, because you
>> haven't specified a panelvar. Conversely, setting a panelvar alone
>> would not work because you haven't specified a timevar.
>>
>> In your case, -ca- is evidently not even a suitable panelvar.
>>
>> You need something like
>>
>> tsset country year
>>
>> and indeed you need something like
>>
>> tsset country year, delta(5)
>>
>> where -delta(5)- is documented under options.
>>
>> Note that -country- or your equivalent must be a numeric variable: if
>> you are holding country names in a string variable, apply -encode-.
>>
>> Spelling is "Granger", not "granger" or "Gangrer".
>>
>> Nick
>> [email protected]
>>
>>
>> On 24 March 2014 06:47, Anderson Macedo de Jesus
>>
>> I am trying to use the granger causality test in stata 13.1, but with no
>> success.
>> First of all, before the test I need to set the variables, right? I have a
>> data set with 135 countries, 26 variables within 5 years (1990, 1995,
>> 2000,
>> 2005, 2010).
>> For the Gangrer causality test I am using the Vector autoregression -var-.
>> Before that I know I need to set the data for the causality test but I get
>> the following messages from stata:
>>
>> -tsset- year (command+variable)
>> r(451)
>> repeated time values in sample
>>
>> or
>>
>> -tsset- ca (command+variable)
>> r(451)
>> time variable must contain only integer values.
>>
>> I don't know what is going on. Someone could give me a clue?
>>
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>>
>>
>>
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>>
>
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