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| From | Muhammad Anees <anees@aneconomist.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Granger causality test in Stata10 |
| Date | Mon, 8 Aug 2011 08:21:46 +0500 |
That is because you have default time series operator in stata. You can create the lagged variables using stata's gen lag1xvar=l.xvar gen lag2xvar=l2.xvar and so on then use the same previous command, hope you get what you want. On Sun, Aug 7, 2011 at 9:19 PM, Merijn Groenenboom <m.groenenboom@students.uu.nl> wrote: > Thanks again Anees! I feel I am very close now... > > My vec regression now is: > > vec d.lstp d.lexr l.d.lexr l2.d.lexr d.lsint l.d.lsint l2.d.lsint > d.lip l.d.lip l2.d.lip d.lur l.d.lur l2.d.lur d.lyie l.d.lyie > l2.d.lyie d.loil l.d.loil l2.d.loil d.lcon l.d.lcon l2.d.lcon d.lgold > l.d.lgold l2.d.lgold d.ltb l.d.ltb l.2.d.ltb d.linf l.d.linf > l.2.d.linf > > After that I want to test for example lexr, as you recommanded: > > test (d.lexr=0) (l.d.lexr=0) (l2.d.lexr=0) > > However then Stata10 sais: > d.lexr not found > > How is this possible? > > Thanks in advance for your reply! > > MerijnG > > 2011/8/6 Muhammad Anees <anees@aneconomist.com>: >> For example you want to include lags into the system, your command should appear >> >> vec yvar d.xvar1 l.d.xvar l2.d.xvar d.xvar2 l.d.xvar2 l2.d.xvar and so on >> test granger causality using >> >> test (d.xvar1=0) (l.d.xvar=0) (l2.d.xvar=0) and so on for other set of xvars. >> >> >> On Fri, Aug 5, 2011 at 3:21 PM, Merijn Groenenboom >> <m.groenenboom@students.uu.nl> wrote: >>> 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/ >>> >> >> >> >> -- >> >> >> Regards >> >> Anees >> >> * >> * 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/ > -- Regards Anees * * 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/