Granger Causality test

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Granger Causality test

Unread postby tyzellar » Wed Jun 29, 2022 6:31 am

Dear Tom, Could you please tell me what this test does?
I am applying the panel var model and I want to check the Granger Causality between the variables but I am not sure whether this code the correct one is. In addition, I would like to know how to calculate the DFC?
Thank you in advance!

***Granger causality tests*****
dofor x=hp cpi
linreg(dfc=85,robust,print) x
# hp{1 to optlag} cpi{1 to optlag} gdp{1 to optlag} $
ir{1 to optlag}
summarize
# ir{1 to optlag}
exclude
# ir{1 to optlag}
end dofor x
tyzellar
 
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Re: Granger Causality test

Unread postby TomDoan » Wed Jun 29, 2022 9:36 am

I'm not sure the point (in this context) of the SUMMARIZE instruction---that computes the sum of the IR lag coefficients and the corresponding standard error, but I don't know what one would make of the value. The EXCLUDE does a "Granger causality" test for IR to whatever the X is on a given pass. However, this is looking at just one variable in a four variable system, so the economic significance is limited---see causality testing with 3 or more variables.
TomDoan
 
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Re: Granger Causality test

Unread postby tyzellar » Wed Jun 29, 2022 9:55 am

Dear Tom, Thank you a thousand times!!!
tyzellar
 
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Joined: Tue May 17, 2022 7:32 am

Re: Granger Causality test

Unread postby tyzellar » Mon Jul 04, 2022 3:09 am

Dear Tom, Could you please tell me if it is possible to apply the block exogeneity in cases of panel data models.
Thank you in advance!
tyzellar
 
Posts: 11
Joined: Tue May 17, 2022 7:32 am


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