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st: granger causality tests
From
Ama Osei <[email protected]>
To
[email protected]
Subject
st: granger causality tests
Date
Tue, 9 Aug 2011 14:49:32 -0400
Hello everyone,
I have run a granger test to see whether interest rates granger cause
food prices (montly data). The results are below. I will be grateful
to get help on how to interpret the results. thank you.
regress primerate L(1/9).primerate L(1/9).maize
Source | SS df MS Number of obs = 367
-------------+------------------------------ F( 18, 348) = 2478.92
Model | 4231.90446 18 235.105803 Prob > F = 0.0000
Residual | 33.0049721 348 .094841874 R-squared = 0.9923
-------------+------------------------------ Adj R-squared = 0.9919
Total | 4264.90943 366 11.652758 Root MSE = .30796
------------------------------------------------------------------------------
primerate | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
primerate |
L1. | 1.507759 .0503791 29.93 0.000 1.408673 1.606845
L2. | -.493322 .0936639 -5.27 0.000 -.6775404 -.3091035
L3. | -.0716562 .092797 -0.77 0.441 -.2541698 .1108574
L4. | -.126144 .083917 -1.50 0.134 -.2911924 .0389044
L5. | .4189321 .0829686 5.05 0.000 .2557492 .582115
L6. | -.5091915 .0835104 -6.10 0.000 -.67344 -.3449429
L7. | .3594211 .0872325 4.12 0.000 .1878518 .5309903
L8. | .149614 .0789657 1.89 0.059 -.0056962 .3049241
L9. | -.2466233 .0403135 -6.12 0.000 -.3259121 -.1673346
|
maize |
L1. | .0008252 .0020797 0.40 0.692 -.0032652 .0049156
L2. | -.0000638 .0033384 -0.02 0.985 -.0066298 .0065023
L3. | -.0020565 .0033885 -0.61 0.544 -.008721 .0046081
L4. | .0026804 .0034124 0.79 0.433 -.0040311 .009392
L5. | -.0003831 .0034491 -0.11 0.912 -.0071667 .0064006
L6. | .001566 .0034052 0.46 0.646 -.0051314 .0082634
L7. | -.0050706 .0034435 -1.47 0.142 -.0118432 .001702
L8. | .0031898 .0034433 0.93 0.355 -.0035824 .009962
L9. | -.0013211 .0022042 -0.60 0.549 -.0056563 .0030141
|
_cons | .1574309 .0800205 1.97 0.050 .0000462 .3148156
------------------------------------------------------------------------------
. test L1.maize L2.maize L3.maize L4.maize L5.maize L6.maize L7.maize
L8.maize L9.maize
( 1) L.maize = 0
( 2) L2.maize = 0
( 3) L3.maize = 0
( 4) L4.maize = 0
( 5) L5.maize = 0
( 6) L6.maize = 0
( 7) L7.maize = 0
( 8) L8.maize = 0
( 9) L9.maize = 0
F( 9, 348) = 0.67
Prob > F = 0.7324
Regards,
Ama Osei
Uof Ghana
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