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Re: st: Stata 12: wish list
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: Stata 12: wish list
Date
Tue, 02 Nov 2010 11:34:38 -0400
Cosimo,
I would not think that volume is a good proxy for
volatility. They seem to me very different, although
there may be a relationship between them.
Granger causality tests linear relationships for precedence.
If you want to test for nonlinear relationships, there are many
functional forms to examine before you can say that there is no nonlinear
relationship. Granger causality has generally been applied in
bivariate examples.
But you might try to apply this to multiple causality by adding
additional variables to the tests. Do you know that you
have all relevant factors in their proper functional forms included?
Moreover, there may be a nonlinear or linear relationship on a sampling
frequency that you have not tested. How do you know that there is
not some indirect relationship but not a direct relationship? Do
you know that you have tested all of the lags necessary to assure
no long run as well as short run precedence?
I presume that these limitations are why the topic is
called Weiner-Granger causality.
Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: [email protected]
Date: Tuesday, November 2, 2010 8:42 am
Subject: Re: st: Stata 12: wish list
To: [email protected]
Cc: [email protected]
> Dear Robert,
> a lot of papers refer to linear and non linear Granger-causality test.
> A
> very simple research on Google might show this. As an example, look at
> this link, among the others:
>
> http://www.jstor.org/pss/2329266
>
> Another problem that I have with Stata is how perform a causality test
> after a VCEM instead of a VAR.
> As regard to panel, Stata is very powerful, but actually we can't have
> a
> clear routine on DOLS, FMOLS and Canonical Cointegrating Regressions.
> Finally, I think that Stata doesn't perform Toda and Yamamoto
> causality test.
>
> Thanks a lot in advance for Your suggestions and advices!
>
> --
> COSIMO MAGAZZINO
> DIPES
> School of Political Sciences
> Roma Tre University
> Via G. Chiabrera 199, 00145, RM
> tel.: +39 0657335347
> fax: +39 0657335282
>
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