Thank Nick,
I have other question about VARgranger:
the result
found the exogeneity between variables. I would like to ask that to
solve this problem, Could it be caused by seasonal effect? And how
could I solve it?
Regards,
Pham
On Sun, Oct 25, 2009 at 10:20 PM, Nick Cox <[email protected]> wrote:
> There are many ways of investigating seasonality. I don't think it is at
> all true that the literature only looks at quarterly effects, but never
> month effects.
>
> One of the simplest and most general ways to check for seasonality is to
> fit a model with no month terms and then to plot residuals from that
> model against month. If there is a strong pattern, then you have
> seasonality.
>
> Nick
> [email protected]
>
> Song Nhac (a.k.a. Pham)
>
> I have some questions about seasonal effect from monthly data (I
> searched around but all of papers or commands are served for
> quarterly). I employed Eview 6.0 (Census X11) to check and there is
> seasonal effect, But I would like to use a command in Stata. How could
> I solve that effect by using smoothing command in Stata for 12 periods
> (month-SARIMA)?
>
> Additionally, I did an VAR- and applied Granger Causality: the result
> found the exogeneity between variables. I would like to ask that to
> solve this problem, Could it be caused by seasonal effect? And how
> could I solve it?
>
>
> *
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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