Granger causality test.
Performs pairwise Granger causality tests between (all possible) pairs of the listed series or group of series.
Syntax
cause(n, options) ser1 ser2 ser3
Following the keyword, list the series or group of series for which you wish to test for Granger causality.
Options
You must specify the number of lags n to use for the test by providing an integer in parentheses after the keyword. Note that the regressors of the test equation are a constant and the specified lags of the pair of series under test.
Other options:
prompt | Force tcointehe dialog to appear from within a program. |
p | Print output of the test. |
Examples
To compute Granger causality tests of whether GDP Granger causes M1 and whether M1 Granger causes GDP, you may enter the command:
cause(4) gdp m1
The regressors of each test are a constant and four lags of GDP and M1.
cause(12,p) m1 gdp r
prints the result of six pairwise Granger causality tests for the three series. The regressors of each test are a constant and twelve lags of the two series under test (and do not include lagged values of the third series).
Cross-references
See
“Granger Causality” for a discussion of Granger’s approach to testing hypotheses about causality.
See also
Group::cause for the corresponding group view.