Re: st: How to run Granger Causality Test?

[Michael Hanson <mshanson@mac.com>]

On Jul 7, 2008, at 6:23 AM, sn_shimul@bracu.ac.bd wrote:

> Hi,
> I cannot run the granger causality test,because I found some  
> problem in
> the command of estimate store. Can anyone help me how to perform it?
> I want to test GC upto 3 lags. How it can be performed?
> Any help in this regard will be highly appreciated.
Your discussion of "some problem" is vague, particularly as -est  
store- is not necessary for a Granger causality test.

A Granger (Non-)causality test is just an F-test on the lags of a  
second variable in the regression of a first variable on its own lags  
and lags of the second variable.  This can be accomplished in Stata  
in a variety of ways, including the -vargranger- command and from  
first principles.

This question has popped up from time to time on Statalist before;   
as the FAQ recommends you should search the list archives before  
posting a question.  For your particular concern, see, for example:

<http://www.stata.com/statalist/archive/2005-06/msg00847.html>
<http://www.stata.com/statalist/archive/2007-03/msg00088.html>
<http://www.stata.com/statalist/archive/2007-07/msg00539.html>

Hope this helps.

					-- Mike
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