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Re: st: granger causality test
From
Prakash Singh <[email protected]>
To
statalist <[email protected]>
Subject
Re: st: granger causality test
Date
Mon, 24 Mar 2014 22:39:03 +0530
Dear Anderson
the test you are trying works with time series data but as you
explained you have panel data. As far my knowledge goes there no ready
command for Granger causality test in panel data.
You can take help of Eviews 8
Prakash
On Mon, Mar 24, 2014 at 9:37 PM, Nick Cox <[email protected]> wrote:
> Glad you got past -tsset-. At this point you need someone who knows
> much more about time series commands than I do.
> Nick
> [email protected]
>
>
> On 24 March 2014 13:21, Anderson Macedo de Jesus <[email protected]> wrote:
>> Dear Nick,
>>
>> Thanks for your help.
>> You are definitely right when you told me that -ca- was not a suitable panelvar.
>> I have chosen country that was a string variable, but i run -encode- and this was not a problem anymore. Therefore, I used -country1- as my panelvar and -year- as my timevar. (Thanks for your hint on the number I should use in delta. As I understood, I need to use delta 5 because my timevar varies every 5 years)
>> My result was great, since my previous one was telling me that panel variable was "weakly balanced".
>>
>>
>> . tsset country1 year, delta(5)
>> panel variable: country1 (strongly balanced)
>> time variable: year, 1990 to 2010
>> delta: 5 units
>>
>>
>> Now that I have set the data, I tried to run the "vector autoregressive models" and the result was "repeated time values in sample".
>> a) As dependent variable I chose two (pfi_fh and ca)
>> b) Time settings: I used the variable "year" and panel id variable 'country1"
>> b.1) The time unit chosen was "use format of time variable"
>> c) And I included 2 lags
>>
>> My results were:
>> a) 2 lags: "repeated time values in sample"
>> b) 5 lags: "no observations"
>>
>> Therefore, my question is: Where am I failing?
>> Thanks a lot
>> Anderson
>>
>>
>> On Mar 24, 2014, at 1:03 PM, Nick Cox <[email protected]> wrote:
>>
>>> 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
>>> [email protected]
>>>
>>>
>>> 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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>>
>>
>> *
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>
> *
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