Re: st: granger causality test

[Nick Cox <njcoxstata@gmail.com>]

Right at the top of the help for -tsset- you get an explanation:

Declare data to be time series

        tsset timevar [, options]

        tsset panelvar timevar [, options]

There are two valid forms. You have panel or longitudinal data, so
only the second form is valid for you.

In your case, setting a timevar alone doesn't work, because you
haven't specified a panelvar. Conversely, setting a panelvar alone
would not work because you haven't specified a timevar.

In your case, -ca- is evidently not even a suitable panelvar.

You need something like

tsset country year

and indeed you need something like

tsset country year, delta(5)

where -delta(5)- is documented under options.

Note that -country- or your equivalent must be a numeric variable: if
you are holding country names in a string variable, apply -encode-.

Spelling is "Granger", not "granger" or "Gangrer".

Nick
njcoxstata@gmail.com


On 24 March 2014 06:47, Anderson Macedo de Jesus

> I am trying to use the granger causality test in stata 13.1, but with no
> success.
> First of all, before the test I need to set the variables, right? I have a
> data set with 135 countries, 26 variables within 5 years (1990, 1995, 2000,
> 2005, 2010).
> For the Gangrer causality test I am using the Vector autoregression -var-.
> Before that I know I need to set the data for the causality test but I get
> the following messages from stata:
>
> -tsset- year (command+variable)
> r(451)
> repeated time values in sample
>
> or
>
> -tsset- ca (command+variable)
> r(451)
> time variable must contain only integer values.
>
> I don't know what is going on. Someone could give me a clue?
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