{smcl} {hline} {cmd:help: {helpb lmgc}}{space 50} {cmd:dialog:} {bf:{dialog lmgc}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmgc: Granger Causality Test at Higher Order AR(p)} {bf:{err:{dlgtab:Syntax}}} {p 2 8 2} {opt lmgc} {depvar} {indepvars} {ifin} , [{opt lag:s(#)} {opt aux(varlist)} {opt nocons:tant} {opt reg coll}]{p_end} {bf:{err:{dlgtab:Options}}} {synoptset 20 tabbed}{...} {col 3}{opt lag:s(#)}{col 20}Order of Lag Length; default is lag(1) {col 3}{opt nocons:tant}{col 20}suppress constant term {col 3}{opt reg}{col 20}display regression results for unrestricted model {col 3}{opt coll}{col 20}Keep Collinear Variables {p 3 20 2}{opt aux(varlist)} add Auxiliary Variables into model without converting them to lagged variables, i.e., dummy variables, time trend, ...etc.{p_end} {bf:{err:{dlgtab:Description}}} {p 2 2 2}{cmd:lmgc} computes Granger Causality Test at Higher Order AR(p) {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmgc} saves the following in {cmd:r()}: {col 4}{cmd:r(lmgc1_#)}{col 20}F Test for order(#) {col 4}{cmd:r(lmgc1p_#)}{col 20}F Test for order(#) P-Value {col 4}{cmd:r(lmgc2_#)}{col 20}Wald Test for order(#) {col 4}{cmd:r(lmgc2p_#)}{col 20}Wald Test for order(#) P-Value {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata db lmgc} {stata sysuse lmgc.dta , clear} {stata lmgc y1 y2 , lags(1) reg} {stata lmgc y1 y2 , lags(1) aux(t) reg} {stata lmgc y1 y2 , lags(1) aux(t y3) reg} {stata lmgc y1 y2 , lags(2)} {stata 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 ---------------------------------------------------------------------- {bf:{err:{dlgtab:References}}} {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}; 620-623. {p 4 8 2}Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) {cmd: "Introduction To The Theory And Practice Of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}; 767-770. {bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} {bf:{err:{dlgtab:lmgc Citation}}} {phang}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {phang}{cmd:LMGC: "Granger Causality Test at Higher Order AR(p)"}{p_end} {psee} {p_end}