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st: granger test

From   Rodrigo Briceño <[email protected]>
To   [email protected]
Subject   st: granger test
Date   Mon, 10 Jan 2011 15:02:42 -0600

Hello Stata Listers. I'm using Stata 9.2, Windows XP.

Recently I ran some Granger tests on a panel data using "gcause2.ado"
by Joly Patrick (CFBaum, Apr2010). The reported statistics of interest
are a F-Statistic and a Chi2-Statistic. I only have 54 observations
for each regression ran, so I am not sure if the results reported are
valid in my short sample context.

The help file of gcause2 establishes that: "The above test (F) is only
valid asymptotically due to the presence of a lagged dependent
variable in the
regression.  An asymptotically equivalent test is given by..." and
then the Chi2 test is reported.

Thanks for your time

Rodrigo Briceño
[email protected]
MSN: [email protected]
SKYPE: rbriceno1087

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