请教大家EVIEWS中因果关系(GRANGER CAUSALITY)TEST
发布：ukshan | 分类：Eviews软件培训
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For example, there is a stock; R denotes Return of the Stock, V denotes Trading Volume of the Stock..
|
Year
|
R
|
V
|
|
1995
|
103
|
2333883
|
|
1996
|
208
|
9992223
|
|
1997
|
306
|
3866688
|
|
1998
|
300
|
3000000
|
|
1999
|
200
|
34888888
|
|
2000
|
100
|
2987377
|
|
2001
|
988
|
998888348
|
|
2002
|
298
|
98888866
|
|
2003
|
302
|
2209993
|
|
2004
|
208
|
33388868
|
Rt=c1+ a2*Rt-1 +a3*Rt-2 +b1*Vt-1 + b2*Vt-2 + et
Vt=c2+a3* Rt-1 +a4* Rt-2 +b3*Vt-1 + b4**Vt-2 + et
We can work with a VAR model to get estimation and run the Granger Causality with Eviews to get F-Statistic and Probability (if 2 Lags).
|
Pairwise Granger Causality Tests
| |||
|
Date: 08/03/05 Time: 14:48
| |||
|
Sample: 1995 2004
| |||
|
Lags: 2
| |||
|
Null Hypothesis:
|
Obs
|
F-Statistic
|
Probability
|
|
V does not Granger Cause R
|
8
|
1.42507
|
0.36723
|
|
R does not Granger Cause V
|
1.75732
|
0.31250
| |
BUT, if there are three stocks, S1, S2, S3; Ri,t denotes Return of Stock i in year t, Vi,t denotes Trading Volume of Stock i in year t.
|
Stock
|
Year
|
R
|
V
|
|
S1
|
1995
|
103
|
2333883
|
|
S1
|
1996
|
208
|
9992223
|
|
S1
|
1997
|
306
|
3866688
|
|
S1
|
1998
|
300
|
3000000
|
|
S1
|
1999
|
200
|
34888888
|
|
S1
|
2000
|
100
|
2987377
|
|
S1
|
2001
|
988
|
998888348
|
|
S1
|
2002
|
298
|
98888866
|
|
S1
|
2003
|
302
|
2209993
|
|
S1
|
2004
|
208
|
33388868
|
|
S2
|
1995
|
466
|
3888889
|
|
S2
|
1996
|
888
|
6888888
|
|
S2
|
1997
|
899
|
77888356
|
|
S2
|
1998
|
999
|
66666488
|
|
S2
|
1999
|
333
|
78888888
|
|
S2
|
2000
|
386
|
99988898
|
|
S2
|
2001
|
668
|
39999998
|
|
S2
|
2002
|
389
|
3000088
|
|
S2
|
2003
|
788
|
800997
|
|
S2
|
2004
|
200
|
6999998
|
|
S3
|
1995
|
100
|
3999877
|
|
S3
|
1996
|
300
|
30009988
|
|
S3
|
1997
|
500
|
5888876
|
|
S3
|
1998
|
400
|
4555858
|
|
S3
|
1999
|
800
|
33333888
|
|
S3
|
2000
|
300
|
28888888
|
|
S3
|
2001
|
200
|
18899999
|
|
S3
|
2002
|
383
|
2633388
|
|
S3
|
2003
|
236
|
2986878
|
|
S3
|
2004
|
639
|
38869866
|
Ri,t=c1+ a2*Ri,t-1 +a3*Ri,t-2 +b1*Vi,t-1 + b2*Vi,t-2 + et
Vi,t=c2+a3* Ri,t-1 +a4* Ri,t-2 +b3*Vi,t-1 + b4**Vi,t-2 + et
After importing all the above panel data, I select 'Granger Causality test' as usual and enter ‘R? T? ‘in the series list but it then shows ‘R? is not defined’.
·How can we run the Granger Causality with Eviews to get F-statistic and Prob. when dealing with panel data/ pool data??
·Can we get just a single table of F-stat. and Prob. rather than three tables for each stock ? Or we cannot get a single table but need to calculate the average of three different F-stat and Prob for each stock ? Because I hope to get a table as follows to see the Granger Causality btw R and V
|
Null Hypothesis:
|
Obs
|
F-Statistic
|
Probability
|
|
V does not Granger Cause R
|
..
|
..
|
..
|
|
R does not Granger Cause V
|
.. |
..
| |
Looking forward to your answer. Many thanks!
Best Regards
有熟悉EVIEWS的同学会吗? 知道怎么用一次RUN出来吗? 谢谢大家的帮助!
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