 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: RE: Interpreting A Granger Causality Test
This is considerably clearer now. I do not want to stick my neck out too far
on this as I am not currently active in time series analysis. But you plug
in the endogenous variables when you estimate -var-. -vargranger-
subsequently tests whether the lags of an endogenous variable have
coefficients equal to zero. So the null is that the variable in the
-excluded- column does not Granger-cause the variable in the first column,
and you decide according to the p-value in the last column whether you want
to reject it or not.
But I am still not sure what the macro-aspect of your question really is...
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of O E Hazell
Sent: Thursday, September 04, 2008 1:58 PM
To: [email protected]
Subject: st: Interpreting A Granger Causality Test
Hi,
Sorry im really confused. This is the regression proceeeding the
'vargranger'
command. I need help in establishing the causality between inj_killed and
pc_growth and whether or not there is a problem of endogeneity. Apologises
if i
have not provided enough information, but im a bit of a novice on STATA.
Vector autoregression
Sample: 3 - 26, but with a gap No. of obs =
22
Log likelihood = -256.7925 AIC =
28.34477
FPE = 2300059 HQIC =
28.98731
Det(Sigma_ml) = 9465.263 SBIC =
31.07238
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
inj_killed 11 386.21 0.9690 688.8212 0.0000
pc_growth 11 3.6123 0.5771 30.01605 0.0009
pc_growth2 11 31.5582 0.7244 57.83593 0.0000
unemp 11 1.06713 0.6387 38.89844 0.0000
pop 11 .372072 1.0000 2597964 0.0000
----------------------------------------------------------------
----------------------------------------------------------------------------
--
| Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
inj_killed |
inj_killed |
L1. | .6884843 .3727408 1.85 0.065 -.0420743
1.419043
L2. | -.8173018 .3393402 -2.41 0.016 -1.482396
-.1522072
pc_growth |
L1. | -50.08742 52.40483 -0.96 0.339 -152.799
52.62415
L2. | -9.567781 45.75188 -0.21 0.834 -99.23981
80.10425
pc_growth2 |
L1. | -21.78274 9.876873 -2.21 0.027 -41.14106
-2.424424
L2. | -9.620566 7.427822 -1.30 0.195 -24.17883
4.937698
unemp |
L1. | -42.42677 65.74972 -0.65 0.519 -171.2939
86.44032
L2. | 74.19683 59.58913 1.25 0.213 -42.59572
190.9894
pop |
L1. | -3027.476 1138.476 -2.66 0.008 -5258.847
-796.1037
L2. | 3079.334 1156.023 2.66 0.008 813.5704
5345.097
_cons | 183.5088 410.8992 0.45 0.655 -621.8389
988.8565
-------------+--------------------------------------------------------------
--
pc_growth |
inj_killed |
L1. | -.0039303 .0034863 -1.13 0.260 -.0107634
.0029027
L2. | .0066452 .0031739 2.09 0.036 .0004244
.0128659
pc_growth |
L1. | .4264278 .4901518 0.87 0.384 -.5342521
1.387108
L2. | -.543496 .4279256 -1.27 0.204 -1.382215
.2952227
pc_growth2 |
L1. | .2971216 .0923802 3.22 0.001 .1160598
.4781835
L2. | .166061 .0694738 2.39 0.017 .029895
.3022271
unemp |
L1. | -.2163338 .614969 -0.35 0.725 -1.421651
.9889833
L2. | -.0960004 .5573479 -0.17 0.863 -1.188382
.9963814
pop |
L1. | 17.65824 10.64837 1.66 0.097 -3.212182
38.52867
L2. | -17.97592 10.81249 -1.66 0.096 -39.16801
3.216173
_cons | .7399578 3.843215 0.19 0.847 -6.792605
8.27252
-------------+--------------------------------------------------------------
--
pc_growth2 |
inj_killed |
L1. | .0518557 .0304576 1.70 0.089 -.00784
.1115514
L2. | -.0792905 .0277283 -2.86 0.004 -.133637
-.024944
pc_growth |
L1. | -2.705434 4.282126 -0.63 0.528 -11.09825
5.687379
L2. | 3.600135 3.738498 0.96 0.336 -3.727185
10.92746
pc_growth2 |
L1. | -2.168511 .8070634 -2.69 0.007 -3.750326
-.5866956
L2. | -1.492206 .6069455 -2.46 0.014 -2.681797
-.3026142
unemp |
L1. | -2.73252 5.37257 -0.51 0.611 -13.26256
7.797524
L2. | 3.072862 4.869174 0.63 0.528 -6.470543
12.61627
pop |
L1. | -74.37683 93.02765 -0.80 0.424 -256.7077
107.954
L2. | 76.32391 94.46145 0.81 0.419 -108.8171
261.4649
_cons | 12.62666 33.57558 0.38 0.707 -53.18027
78.43359
-------------+--------------------------------------------------------------
--
unemp |
inj_killed |
L1. | -.0009799 .0010299 -0.95 0.341 -.0029985
.0010387
L2. | .0003091 .0009376 0.33 0.742 -.0015286
.0021468
pc_growth |
L1. | .1029489 .1447987 0.71 0.477 -.1808513
.3867491
L2. | -.0694429 .1264161 -0.55 0.583 -.3172138
.178328
pc_growth2 |
L1. | -.0805311 .0272906 -2.95 0.003 -.1340197
-.0270426
L2. | -.0381459 .0205237 -1.86 0.063 -.0783715
.0020797
unemp |
L1. | -.103531 .1816717 -0.57 0.569 -.459601
.2525389
L2. | .4107279 .1646495 2.49 0.013 .0880208
.733435
pop |
L1. | -8.877161 3.145699 -2.82 0.005 -15.04262
-2.711704
L2. | 9.019482 3.194183 2.82 0.005 2.758998
15.27996
_cons | 4.184864 1.135347 3.69 0.000 1.959625
6.410104
-------------+--------------------------------------------------------------
--
pop |
inj_killed |
L1. | -.0005293 .0003591 -1.47 0.140 -.0012331
.0001745
L2. | .0008443 .0003269 2.58 0.010 .0002035
.001485
pc_growth |
L1. | .0276005 .0504864 0.55 0.585 -.071351
.1265519
L2. | -.0310977 .044077 -0.71 0.480 -.1174869
.0552916
pc_growth2 |
L1. | .0249982 .0095153 2.63 0.009 .0063486
.0436479
L2. | .0182721 .0071559 2.55 0.011 .0042468
.0322974
unemp |
L1. | .0435747 .0633427 0.69 0.492 -.0805747
.1677242
L2. | -.0632371 .0574077 -1.10 0.271 -.175754
.0492799
pop |
L1. | 2.542719 1.096798 2.32 0.020 .3930348
4.692404
L2. | -1.559705 1.113702 -1.40 0.161 -3.742522
.6231119
_cons | -.0250796 .3958568 -0.06 0.949 -.8009447
.7507855
----------------------------------------------------------------------------
--
. 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 |
+------------------------------------------------------------------+
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/