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From | Merijn Groenenboom <m.groenenboom@students.uu.nl> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Granger causality test in Stata10 |
Date | Thu, 4 Aug 2011 10:07:55 +0200 |
Dear Statalisters, I am writing a research about the effect of economic indicators on stock prices. Granger causality test is one of the tests I want to use. I started with the following command in Stata10: quietly var d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.lm1 d.loil d.lcon d.lgold d.ltb d.linf, lags(1/2) vargranger However the results showed spurious results, since all variables are only stationary at first differences and cointegration exists I should use a vec model instead of a var model. So I used the following command: vec d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.lm1 d.loil d.lcon d.lgold d.ltb d.linf, lags(1/2) However I am not sure about the next step. How does Stata show me the results of granger causality test now? Or did I already make a mistake before? Thank you. Merijn G * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/