Thanks, Mike and Gustavo.
Best,
Rashmi
Quoting Gustavo Sanchez <[email protected]>:
> Rashmi <[email protected]> wants to know how to interpret the
> -vargranger-
> output. Specifically, Rashmi would like to interpret
>
> >. 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 |
> > +------------------------------------------------------------------+
>
> Variable A is said to Granger cause variable B, if the lags of A can
> improve
> a forecast for variable B. In a VAR model, under the null hypothesis that
> variable A does not Granger cause variable B, all the coefficients on the
> lags of variable A will be zero in the equation for variable B. A Wald
> test
> is commonly used to test for Granger causality.
>
> Each row of the above table reports a Wald test that the coefficients on
> the
> lags of the variable in the "excluded" column are zero in the equation for
> the variable in the "equation" column. For example, the small p-value in
> the first row is evidence that the coefficients on the lags of lnpetrol are
> not jointly zero in the equation for bp_level, indicating that the evidence
> favors the alternative that lnpetrol Granger causes bp_level.
>
> As another example, the second row corresponds to the Wald test that the
> coefficients on the lags of lndomcred in the equation for bp_level are
> jointly zero. In this case we cannot reject the null hypothesis that
> lndomcred does not Granger cause bp_level.
>
> --David --Gustavo
> [email protected] [email protected]
>
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Rashmi Shankar
Asst. Professor, Department of Economics,
Brandeis International Business School
Brandeis University,
415 South Street,
Waltham, MA 02454
Phone: 781-736-2265
Fax: 781-736-2269
*
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* http://www.ats.ucla.edu/stat/stata/
