. pvar lntfpch lnvss, lag(7)
convergence not achieved
Panel vector autoregresssion
GMM Estimation
Final GMM Criterion Q(b) = 2.13e-28
Initial weight matrix: Identity
GMM weight matrix: Robust
No. of obs = 22
No. of panels = 11
Ave. no. of T = 2.000
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lntfpch |
lntfpch |
L1. | -1.075367 . . . . .
L2. | -.6564849 1.105026 -0.59 0.552 -2.822297 1.509327
L3. | -1.383145 . . . . .
L4. | -.2335117 . . . . .
L5. | -.5448957 .4273702 -1.27 0.202 -1.382526 .2927345
L6. | -.0441683 .5264343 -0.08 0.933 -1.075961 .987624
L7. | .3682296 .3632694 1.01 0.311 -.3437654 1.080225
|
lnvss |
L1. | -.4951219 . . . . .
L2. | -1.119657 1.005044 -1.11 0.265 -3.089508 .8501939
L3. | .2610091 .5955764 0.44 0.661 -.9062992 1.428317
L4. | .2386489 .2396719 1.00 0.319 -.2310994 .7083973
L5. | .6924276 .3525564 1.96 0.050 .0014299 1.383425
L6. | .2736048 .2437813 1.12 0.262 -.2041977 .7514073
L7. | -.3734051 .1696421 -2.20 0.028 -.7058975 -.0409127
-------------+----------------------------------------------------------------
lnvss |
lntfpch |
L1. | .4530062 . . . . .
L2. | .1492579 .3453104 0.43 0.666 -.5275381 .8260538
L3. | .1300303 . . . . .
L4. | .3786161 .2536631 1.49 0.136 -.1185544 .8757866
L5. | .307911 .4141882 0.74 0.457 -.5038829 1.119705
L6. | .4368889 .2038586 2.14 0.032 .0373334 .8364444
L7. | .1091952 .2908264 0.38 0.707 -.4608142 .6792045
|
lnvss |
L1. | 1.177728 .7853538 1.50 0.134 -.3615373 2.716993
L2. | .0511812 . . . . .
L3. | -.0714966 .1705725 -0.42 0.675 -.4058126 .2628194
L4. | -.0155768 .118933 -0.13 0.896 -.2486811 .2175275
L5. | -.2612732 .4350005 -0.60 0.548 -1.113858 .5913121
L6. | .0867862 .3140197 0.28 0.782 -.5286812 .7022536
L7. | -.0061255 .1261907 -0.05 0.961 -.2534548 .2412038
------------------------------------------------------------------------------
Instruments : l(1/7).(lntfpch lnvss)
.
. pvargranger
panel VAR-Granger causality Wald test
Ho: Excluded variable does not Granger-cause Equation variable
Ha: Excluded variable Granger-causes Equation variable
+------------------------------------------------------+
| Equation \ Excluded | chi2 df Prob > chi2 |
|----------------------+-------------------------------|
|lntfpch | |
| lnvss | 1007.227 6 0.000 |
| ALL | 1007.227 6 0.000 |
|----------------------+-------------------------------|
|lnvss | |
| lntfpch | 2.707 5 0.745 |
| ALL | 2.707 5 0.745 |
+------------------------------------------------------+