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| From | Merijn Groenenboom <m.groenenboom@students.uu.nl> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Granger causality test in Stata10 |
| Date | Fri, 5 Aug 2011 12:21:50 +0200 |
Thanks for the help Muhammad! Only one more question about the command with the lags: Lets say my y variable= d.lstp and my x variables are d.lexr and d.lgold. I use a lag of 3 for both variables. What should I type in Stata? vec d.lstp d.lexr....... How can i include lags in the middle of the regression? What command should i use? Thanks in advance for the help! 2011/8/5 Muhammad Anees <anees@aneconomist.com>: > Granger causality is tested using F or Modiffied Wald Chi2 > statistitic. You can try the -test- command on the respective > variables after your regression command. > > vec yvar xvar1with lags xvar2withlags xvar3withlags > test xvar1withlags > > will give you the causality statistic for xvar1 and its included lag. > This way you have to keep mind the routine of hypothesis for Granger > causality > > Hope It explains the answer > > Anees > > On Thu, Aug 4, 2011 at 1:07 PM, Merijn Groenenboom > <m.groenenboom@students.uu.nl> wrote: >> 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/ >> > > * > * 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/ > * * 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/