help: lmgc dialog:

Title

lmgc: Granger Causality Test at Higher Order AR(p)

Syntax

lmgc depvar indepvars [if] [in] , [lags(#) aux(varlist) noconstant reg coll]

Options

lags(#) Order of Lag Length; default is lag(1)

noconstant suppress constant term

reg display regression results for unrestricted model

coll Keep Collinear Variables

aux(varlist) add Auxiliary Variables into model without converting them to lagged variables, i.e., dummy variables, time trend, ...etc.

Description

lmgc computes Granger Causality Test at Higher Order AR(p)

Saved Results

lmgc saves the following in r():

r(lmgc1_#) F Test for order(#)
r(lmgc1p_#) F Test for order(#) P-Value

r(lmgc2_#) Wald Test for order(#)
r(lmgc2p_#) Wald Test for order(#) P-Value

Examples

clear all

db lmgc

sysuse lmgc.dta , clear

lmgc y1 y2 , lags(1) reg

lmgc y1 y2 , lags(1) aux(t) reg

lmgc y1 y2 , lags(1) aux(t y3) reg

lmgc y1 y2 , lags(2)

return list

. clear all
. sysuse lmgc.dta , clear
. lmgc y1 y2 , lags(2)

==============================================================================
*** Granger Causality Test
==============================================================================
Ho: y2 does not Granger-Cause y1

Sample Range = 2-40 Sample Size= 39
Lag Length = 1
* F-Test = 0.5339 P-Value > F(1 , 36) = 0.4697
* Wald Test = 0.5784 P-Value > Chi2(1) = 0.4469
----------------------------------------------------------------------
Sample Range = 3-40 Sample Size= 38
Lag Length = 2
* F-Test = 4.9514 P-Value > F(2 , 33) = 0.0132
* Wald Test = 11.4031 P-Value > Chi2(2) = 0.0033
----------------------------------------------------------------------

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA; 620-623.

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA; 767-770.

Author

Emad Abd Elmessih Shehata
Assistant Professor
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
WebPage: http://emadstat.110mb.com/stata.htm
WebPage at IDEAS: http://ideas.repec.org/f/psh494.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm

lmgc Citation

Shehata, Emad Abd Elmessih (2012)

LMGC: "Granger Causality Test at Higher Order AR(p)"