Re: st: granger causality test

[Nick Cox <njcoxstata@gmail.com>]

Glad you got past -tsset-. At this point you need someone who knows
much more about time series commands than I do.
Nick
njcoxstata@gmail.com


On 24 March 2014 13:21, Anderson Macedo de Jesus <andemacj@me.com> wrote:
> Dear Nick,
>
> Thanks for your help.
> You are definitely right when you told me that -ca- was not a suitable panelvar.
> I have chosen country that was a string variable, but i run -encode- and this was not a problem anymore. Therefore, I used -country1- as my panelvar and -year- as my timevar. (Thanks for your hint on the number I should use in delta. As I understood, I need to use delta 5 because my timevar varies every 5 years)
> My result was great, since my previous one was telling me that panel variable was "weakly balanced".
>
>
> . tsset country1 year, delta(5)
>        panel variable:  country1 (strongly balanced)
>         time variable:  year, 1990 to 2010
>                 delta:  5 units
>
>
> Now that I have set the data, I tried to run the "vector autoregressive models" and the result was "repeated time values in sample".
> a) As dependent variable I chose two (pfi_fh and ca)
> b) Time settings: I used the variable "year" and panel id variable 'country1"
>         b.1) The time unit chosen was "use format of time variable"
> c) And I included 2 lags
>
> My results were:
> a) 2 lags: "repeated time values in sample"
> b) 5 lags: "no observations"
>
> Therefore, my question is: Where am I failing?
> Thanks a lot
> Anderson
>
>
> On Mar 24, 2014, at 1:03 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>
>> Right at the top of the help for -tsset- you get an explanation:
>>
>> Declare data to be time series
>>
>>        tsset timevar [, options]
>>
>>        tsset panelvar timevar [, options]
>>
>> There are two valid forms. You have panel or longitudinal data, so
>> only the second form is valid for you.
>>
>> In your case, setting a timevar alone doesn't work, because you
>> haven't specified a panelvar. Conversely, setting a panelvar alone
>> would not work because you haven't specified a timevar.
>>
>> In your case, -ca- is evidently not even a suitable panelvar.
>>
>> You need something like
>>
>> tsset country year
>>
>> and indeed you need something like
>>
>> tsset country year, delta(5)
>>
>> where -delta(5)- is documented under options.
>>
>> Note that -country- or your equivalent must be a numeric variable: if
>> you are holding country names in a string variable, apply -encode-.
>>
>> Spelling is "Granger", not "granger" or "Gangrer".
>>
>> Nick
>> njcoxstata@gmail.com
>>
>>
>> On 24 March 2014 06:47, Anderson Macedo de Jesus
>>
>>> I am trying to use the granger causality test in stata 13.1, but with no
>>> success.
>>> First of all, before the test I need to set the variables, right? I have a
>>> data set with 135 countries, 26 variables within 5 years (1990, 1995, 2000,
>>> 2005, 2010).
>>> For the Gangrer causality test I am using the Vector autoregression -var-.
>>> Before that I know I need to set the data for the causality test but I get
>>> the following messages from stata:
>>>
>>> -tsset- year (command+variable)
>>> r(451)
>>> repeated time values in sample
>>>
>>> or
>>>
>>> -tsset- ca (command+variable)
>>> r(451)
>>> time variable must contain only integer values.
>>>
>>> I don't know what is going on. Someone could give me a clue?
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