格蘭杰因果檢驗(yàn)stata操作指南

1、 偠Stata10.0 c x y y x Clive-Granger 偠 x y y x x 乘y y 乘x tqj j t i i t pi i t x y y H E D J ¦¦ 11p q 偠 0:210 q H E E E x 乘y H 0 x x Granger cause x y 偠y x Granger causality 乘 predictability 乊 偠 偠 cVWDWDVWDWD d reg y L.y L.x 1 estat ic AIC BIC reg y L.y L.x L2.y L2.xZe on PD F D r i v e r T

2、ri a l w w w .z e on .c o m .t westat ic AIC BIC p ,q 偠0:210 q H E E E test S T d VVF LQVWDOO JFDXVH 偠 JFDXVHJFDXVH ODJV HVWDW LF $,&%,& JFDXVH ODJV HVWDW LF $,&%,& d d d d dvar y x vargranger 偠$,& %,& 催 S min floor(/22,40p n =- 1/4p n =Ze on PD F D r i v e r T ri a l w w w .

3、z e on .c o m .t w1/30.75p n = c “ukrates.dta”gcause 1AIC BIC p=q=3 AIC BIC p q .Note:N=Obs used in calculating BIC;see RBIC note.522-1349.387-134.74729287.4945325.8135ModelObs ll(nullll(modeldfAIC BIC .estat icProb >chi2=0.5402(asymptoticchi2(4=3.11(asymptoticProb >F =0.5496F(4,513=0.76H0:r s

4、 does not Granger-causer 20obs =522Granger causality testSample:1952m7to 1995m12.gcause r20rs,lags(4Note:N=Obs used in calculating BIC;seeRBIC note .523-1352.379-135.71347285.4268315.2439ModelObs ll(nullll(modeldf AIC BIC .estat icProb >chi2=0.5040(asymptoticchi2(3=2.34(asymptoticProb >F =0.51

5、05F(3,516=0.77H0:r s does not Granger-causer 20obs =523Granger causality testSample:1952m6to 1995m12.gcause r20rs,lags(3Note:N=Obs used in calculating BIC;seeRBIC note.524-1355.457-140.43395290.8679312.1753ModelObs ll(nullll(modeldfAICBIC .estat icProb >chi2=0.3758(asymptoticchi2(2=1.96(asymptoti

6、cProb >F =0.3800F(2,519=0.97H0:r s does not Granger-causer 20obs =524Granger causality testSample:1952m5to 1995m12.gcause r20rs,lags(22 p=q=3 F 偠 偠 Ze on P D F D r i v e r T ri a l www.z e on.c o m .t w rs r20 3 偠r20 rs p=q=2 AICBIC p=q=2 F 偠 偠 Note:N=Obs used in calculating BIC;seeRBIC note.523-

7、1402.8-379.14287772.2856802.1026ModelObs ll(nullll(modeldfAICBIC .estat icProb >chi2=0.0000(asymptoticchi2(3=23.76(asymptoticProb >F =0.0000F(3,516=7.81H0:r 20does not Granger-causer sobs =523Granger causality testSample:1952m6to 1995m12.gcause rs r20,lags(3Note:N=Obs used in calculating BIC;s

8、eeRBIC note.524-1406.115-380.08835770.1765791.484ModelObs ll(nullll(modeldfAICBIC .estat icProb >chi2=0.0000(asymptoticchi2(2=22.32(asymptoticProb >F =0.0000F(2,519=11.05H0:r 20does not Granger-causer sobs =524Granger causality testSample:1952m5to 1995m12.gcause rs r20,lags(2Note:N=Obs used in

9、 calculating BIC;seeRBIC note.525-1409.439-414.52513835.0502847.8404ModelObs ll(nullll(modeldfAICBIC.estat icProb >chi2=0.1524(asymptoticchi2(1=2.05(asymptoticProb >F =0.1541F(1,522=2.04H0:r 20does not Granger-causer sobs =525Granger causality testSample:1952m4to 1995m12.gcause rs r20,lags(14

10、Ze on P D F D r i v e r T ri a l www.z e on.c o m .t w_cons.0583666.06479870.900.368-.0689333.1856666L2.-.3247297.0772706-4.200.000-.4765313-.1729281L1.347973.0773775 4.500.000.1959614.4999845r20L2.-.1975637.0482207-4.100.000-.2922954-.102832L1. 1.163513.048229324.120.000 1.068764 1.258261rs rs Coef

11、.Std.Err.t P>|t|95%Conf.IntervalTotal6571.2932752312.5646143Root MSE=.50219Adj R-squared =0.9799Residual130.886841519.252190446R-squared=0.9801Model 6440.4064341610.10161Prob >F =0.0000F(4,519=6384.47Source SS df MS Number of obs =524Prob >chi2=0.0000(asymptoticchi2(2=22.32(asymptoticProb >F =0.0000F(2,