在VAR结果中,选择View/Lag Structure/Granger Causality Tests,即可进行Granger因果检验。但其检验结果和在群里面进行的检验结果相差很大,请问是什么原因?我选的滞后期相同。
VAR Granger Causality/Block Exogeneity Wald Tests
Date: 02/13/12 Time: 11:33
Sample: 1952 1988
Included observations: 34
Dependent variable: LY1
Excluded Chi-sq df Prob.
LY2 18.55480 3 0.0003
LY3 14.05059 3 0.0028
All 21.75953 6 0.0013
Dependent variable: LY2
Excluded Chi-sq df Prob.
LY1 23.78464 3 0.0000
LY3 16.52433 3 0.0009
All 41.22396 6 0.0000
Dependent variable: LY3
Excluded Chi-sq df Prob.
LY1 11.86783 3 0.0078
LY2 7.976043 3 0.0465
All 13.27210 6 0.0389
用群产生的结果
Pairwise Granger Causality Tests
Date: 02/13/12 Time: 11:52
Sample: 1952 1988
Lags: 3
Null Hypothesis: Obs F-Statistic Probability
LY2 does not Granger Cause LY1 34 1.82337 0.16671
LY1 does not Granger Cause LY2 5.48551 0.00448
LY3 does not Granger Cause LY1 34 0.67777 0.57325
LY1 does not Granger Cause LY3 1.49063 0.23942
LY3 does not Granger Cause LY2 34 3.28461 0.03592
LY2 does not Granger Cause LY3 0.35236 0.78776