This question falls short in terms of information. What makes you think that
macro data are special with regard to -vargranger-? Show us the estimation
preceding the -vargranger- command. And try
*********
webuse lutkepohl2, clear
tsset
var dln_inv dln_inc dln_consump if qtr<=tq(1978q4), dfk small
vargranger
*********
from the entry in [TS] as a first "point of entry" to your problem.
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of O E Hazell
Sent: Thursday, September 04, 2008 1:20 PM
To: [email protected]
Subject: st: Interpreting A Granger Causality Test
Hi
I have run the following granger test but im not very familiar with using
macro
data, so i am unsure as how to interpret the results. Do the results suggest
endogeneity? Should the lag of pc_growth be used rather than current
pc_growth.
. vargranger
Granger causality Wald tests
+------------------------------------------------------------------+
| Equation Excluded | chi2 df Prob > chi2 |
|--------------------------------------+---------------------------|
| inj_killed pc_growth | 1.0731 2 0.585 |
| inj_killed pc_growth2 | 4.8658 2 0.088 |
| inj_killed unemp | 1.6206 2 0.445 |
| inj_killed pop | 11.794 2 0.003 |
| inj_killed ALL | 117.98 8 0.000 |
|--------------------------------------+---------------------------|
| pc_growth inj_killed | 6.78 2 0.034 |
| pc_growth pc_growth2 | 10.664 2 0.005 |
| pc_growth unemp | .21308 2 0.899 |
| pc_growth pop | 6.8881 2 0.032 |
| pc_growth ALL | 26.169 8 0.001 |
|--------------------------------------+---------------------------|
| pc_growth2 inj_killed | 11.296 2 0.004 |
| pc_growth2 pc_growth | 1.1352 2 0.567 |
| pc_growth2 unemp | .50434 2 0.777 |
| pc_growth2 pop | 17.398 2 0.000 |
| pc_growth2 ALL | 55.601 8 0.000 |
|--------------------------------------+---------------------------|
| unemp inj_killed | 2.1026 2 0.349 |
| unemp pc_growth | .68276 2 0.711 |
| unemp pc_growth2 | 8.7176 2 0.013 |
| unemp pop | 8.6597 2 0.013 |
| unemp ALL | 23.873 8 0.002 |
|--------------------------------------+---------------------------|
| pop inj_killed | 9.6661 2 0.008 |
| pop pc_growth | .67368 2 0.714 |
| pop pc_growth2 | 8.3789 2 0.015 |
| pop unemp | 1.3414 2 0.511 |
| pop ALL | 25.71 8 0.001 |
+------------------------------------------------------------------+
Any help would be much appreciated.
Oli
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