Hi, all: After running a var in first differences, 4 lags, I use vargranger to
run a pair-wise causality test. The output is as follows. How do I interpret
the causality test result?
. var bp_level lnpetrol lndomcred if cnum==1,lags(1/4)
Vector autoregression
Sample: 1979q2 1989q3 No. of obs = 42
Log likelihood = 293.2083 AIC = -12.10515
FPE = 1.18e-09 HQIC = -11.51372
Det(Sigma_ml) = 1.73e-10 SBIC = -10.4916
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
bp_level 13 .005725 0.9997 137124.4 0.0000
lnpetrol 13 .119025 0.8814 312.1472 0.0000
lndomcred 13 .042558 0.9677 1258.441 0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
bp_level |
bp_level |
L1 | 3.470418 .0607476 57.13 0.000 3.351355 3.589481
L2 | -4.980123 .164283 -30.31 0.000 -5.302112 -4.658135
L3 | 3.442603 .164314 20.95 0.000 3.120553 3.764652
L4 | -.9433738 .0608566 -15.50 0.000 -1.062651 -.824097
lnpetrol |
L1 | .0141815 .0077691 1.83 0.068 -.0010457 .0294087
L2 | -.0008675 .0107947 -0.08 0.936 -.0220247 .0202897
L3 | -.0080828 .0108161 -0.75 0.455 -.0292819 .0131163
L4 | -.0118649 .0082324 -1.44 0.150 -.0280001 .0042703
lndomcred |
L1 | .0171285 .0243042 0.70 0.481 -.0305068 .0647638
L2 | .017975 .028331 0.63 0.526 -.0375528 .0735028
L3 | -.0105865 .0286135 -0.37 0.711 -.0666678 .0454949
L4 | -.0475098 .0278142 -1.71 0.088 -.1020247 .0070051
_cons | .6082876 1.029147 0.59 0.554 -1.408804 2.625379
-------------+----------------------------------------------------------------
lnpetrol |
bp_level |
L1 | -2.315692 1.262873 -1.83 0.067 -4.790878 .1594945
L2 | 6.521216 3.415258 1.91 0.056 -.172567 13.215
L3 | -5.864478 3.415903 -1.72 0.086 -12.55952 .830568
L4 | 1.734783 1.265141 1.37 0.170 -.7448474 4.214414
lnpetrol |
L1 | .9630611 .1615115 5.96 0.000 .6465044 1.279618
L2 | -.2365325 .2244094 -1.05 0.292 -.6763669 .2033018
L3 | .4041708 .2248537 1.80 0.072 -.0365344 .8448759
L4 | -.4674047 .1711423 -2.73 0.006 -.8028375 -.1319719
lndomcred |
L1 | -1.074795 .5052565 -2.13 0.033 -2.065079 -.0845103
L2 | .4495766 .5889704 0.76 0.445 -.7047841 1.603937
L3 | -.0584309 .5948414 -0.10 0.922 -1.224299 1.107437
L4 | .4619598 .5782267 0.80 0.424 -.6713437 1.595263
_cons | 7.076683 21.39481 0.33 0.741 -34.85637 49.00973
-------------+----------------------------------------------------------------
lndomcred |
bp_level |
L1 | .9649799 .4515489 2.14 0.033 .0799603 1.85
L2 | -.9779056 1.221149 -0.80 0.423 -3.371313 1.415502
L3 | .2451494 1.221379 0.20 0.841 -2.14871 2.639009
L4 | .1724083 .4523597 0.38 0.703 -.7142004 1.059017
lnpetrol |
L1 | -.0636447 .0577495 -1.10 0.270 -.1768317 .0495423
L2 | .0321776 .0802391 0.40 0.688 -.1250881 .1894434
L3 | -.0746875 .080398 -0.93 0.353 -.2322647 .0828896
L4 | -.0128049 .0611931 -0.21 0.834 -.1327412 .1071314
lndomcred |
L1 | .69025 .1806579 3.82 0.000 .336167 1.044333
L2 | -.2540985 .2105904 -1.21 0.228 -.666848 .158651
L3 | .0903006 .2126896 0.42 0.671 -.3265634 .5071645
L4 | -.1031097 .2067489 -0.50 0.618 -.5083301 .3021107
_cons | 15.0045 7.649859 1.96 0.050 .0110564 29.99795
------------------------------------------------------------------------------
. vargranger
Granger causality Wald tests
+------------------------------------------------------------------+
| Equation Excluded | chi2 df Prob > chi2 |
|--------------------------------------+---------------------------|
| bp_level lnpetrol | 14.108 4 0.007 |
| bp_level lndomcred | 6.0917 4 0.192 |
| bp_level ALL | 19.279 8 0.013 |
|--------------------------------------+---------------------------|
| lnpetrol bp_level | 5.9199 4 0.205 |
| lnpetrol lndomcred | 5.4121 4 0.248 |
| lnpetrol ALL | 10.121 8 0.257 |
|--------------------------------------+---------------------------|
| lndomcred bp_level | 49.78 4 0.000 |
| lndomcred lnpetrol | 7.3881 4 0.117 |
| lndomcred ALL | 57.215 8 0.000 |
+------------------------------------------------------------------+
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