Re: st: Granger causality test in Stata10

[Merijn Groenenboom <m.groenenboom@students.uu.nl>]

Dear Anees,

Thanks again for your help. I really appreciate it that you keep
helping me. It is very important for me since I am writing  my
masterthesis and I completed the whole thesis, except for this last
granger causality test. Furthermore the deadline is almost there, so I
am a little bit stressed at the moment. So thanks a lot for all the
help!

I followed all your tips, but I still did not succeed in completing
the test. I added all the new variales.
However, I do not think the problem was with the lags. Even when I
only use the following command after the vec model:
test (d.lexr=0)
I get an error with: regressor d.lexr not found.

Are you sure you can do granger causality test with a VEC model in
Stata? I have the feeling that it is not possible to use the command
function test after creating a VEC model.

Thanks in advance!

MerijnG

2011/8/8 Muhammad Anees <anees@aneconomist.com>:
> Sorry to mention, use the previous command with the newly created
> lag1xvar and lag2xvar etc.
>
> On Sun, Aug 7, 2011 at 9:19 PM, Merijn Groenenboom
> <m.groenenboom@students.uu.nl> wrote:
>> Thanks again Anees! I feel I am very close now...
>>
>> My vec regression now is:
>>
>> vec d.lstp d.lexr l.d.lexr  l2.d.lexr d.lsint l.d.lsint l2.d.lsint
>> d.lip l.d.lip l2.d.lip d.lur l.d.lur l2.d.lur d.lyie l.d.lyie
>> l2.d.lyie d.loil l.d.loil l2.d.loil d.lcon l.d.lcon l2.d.lcon d.lgold
>> l.d.lgold l2.d.lgold d.ltb l.d.ltb l.2.d.ltb d.linf l.d.linf
>> l.2.d.linf
>>
>> After that I want to test for example lexr, as you recommanded:
>>
>> test (d.lexr=0) (l.d.lexr=0) (l2.d.lexr=0)
>>
>> However then Stata10 sais:
>> d.lexr not found
>>
>> How is this possible?
>>
>> Thanks in advance for your reply!
>>
>> MerijnG
>>
>> 2011/8/6 Muhammad Anees <anees@aneconomist.com>:
>>> For example you want to include lags into the system, your command should appear
>>>
>>> vec yvar d.xvar1 l.d.xvar l2.d.xvar d.xvar2 l.d.xvar2 l2.d.xvar and so on
>>> test granger causality using
>>>
>>> test (d.xvar1=0) (l.d.xvar=0) (l2.d.xvar=0) and so on for other set of xvars.
>>>
>>>
>>> On Fri, Aug 5, 2011 at 3:21 PM, Merijn Groenenboom
>>> <m.groenenboom@students.uu.nl> wrote:
>>>> Thanks for the help Muhammad!
>>>>
>>>> Only one more question about the command with the lags:
>>>>
>>>> Lets say my y variable= d.lstp and my x variables are d.lexr and d.lgold.
>>>> I use a lag of 3 for both variables.
>>>> What should I type in Stata?
>>>> vec d.lstp d.lexr.......
>>>> How can i include lags in the middle of the regression? What command
>>>> should i use?
>>>>
>>>> Thanks in advance for the help!
>>>>
>>>> 2011/8/5 Muhammad Anees <anees@aneconomist.com>:
>>>>> Granger causality is tested using F or Modiffied Wald Chi2
>>>>> statistitic. You can try the -test- command on the respective
>>>>> variables after your regression command.
>>>>>
>>>>> vec yvar xvar1with lags xvar2withlags xvar3withlags
>>>>> test xvar1withlags
>>>>>
>>>>> will give you the causality statistic for xvar1 and its included lag.
>>>>> This way you have to keep mind the routine of hypothesis for Granger
>>>>> causality
>>>>>
>>>>> Hope It explains the answer
>>>>>
>>>>> Anees
>>>>>
>>>>> On Thu, Aug 4, 2011 at 1:07 PM, Merijn Groenenboom
>>>>> <m.groenenboom@students.uu.nl> wrote:
>>>>>> Dear Statalisters,
>>>>>>
>>>>>> I am writing a research about the effect of economic indicators on stock prices.
>>>>>> Granger causality test is one of the tests I want to use.
>>>>>> I started with the following command in Stata10:
>>>>>>
>>>>>> quietly var d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.lm1 d.loil d.lcon
>>>>>> d.lgold d.ltb d.linf, lags(1/2)
>>>>>> vargranger
>>>>>>
>>>>>> However the results showed spurious results, since all variables are
>>>>>> only stationary at first differences and cointegration exists
>>>>>> I should use a vec model instead of a var model.
>>>>>> So I used the following command:
>>>>>> vec d.lstp d.lexr d.lsint d.lip d.lur d.lyie d.lm1 d.loil d.lcon
>>>>>> d.lgold d.ltb d.linf, lags(1/2)
>>>>>>
>>>>>> However I am not sure about the next step. How does Stata show me the
>>>>>> results of granger causality test now?
>>>>>> Or did I already make a mistake before?
>>>>>>
>>>>>> Thank you.
>>>>>>
>>>>>> Merijn G
>>>>>> *
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>>>>>
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>>>
>>>
>>>
>>> --
>>>
>>>
>>> Regards
>>>
>>> Anees
>>>
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>>
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>
>
>
> --
>
>
> Regards
>
> Anees
>
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