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help: lmgc                                                   dialog: lmgc
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        +-------+
    ----+ 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 - Eg
> ypt
  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)"