I am using xtgcause command for granger causality analysis.
I have a dataset for gdp growth and housing prices that looks like this
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input str3 code str7 time float(gdp_value hp_value) "NLD" "2005-Q1" .322858 120.8404 "NLD" "2005-Q2" .70347 121.14498 "NLD" "2005-Q3" 1.342952 121.52393 "NLD" "2005-Q4" .630551 122.07548 "NLD" "2006-Q1" .623938 121.92136 "NLD" "2006-Q2" 1.497031 123.00626 "NLD" "2006-Q3" .598153 123.21648 "NLD" "2006-Q4" .8245 124.73105 "NLD" "2007-Q1" 1.145697 125.23947 "NLD" "2007-Q2" .511647 125.9286 "NLD" "2007-Q3" 1.117502 127.33276 "NLD" "2007-Q4" 1.353024 127.85272 "NLD" "2008-Q1" .327531 126.555 "NLD" "2008-Q2" .492587 126.6092 "NLD" "2008-Q3" -.122148 127.45116 "NLD" "2008-Q4" -.659941 126.312 "NLD" "2009-Q1" -3.593641 125.50623 "NLD" "2009-Q2" .002509 123.75813 "NLD" "2009-Q3" .400708 121.3588 "NLD" "2009-Q4" .602328 121.06926 "NLD" "2010-Q1" -.181172 119.73282 "NLD" "2010-Q2" .430196 119.9887 "NLD" "2010-Q3" .429435 118.35582 "NLD" "2010-Q4" 1.130277 117.32396 "NLD" "2011-Q1" .59237 116.83125 "NLD" "2011-Q2" -.094369 115.03316 "NLD" "2011-Q3" -.008004 113.31206 "NLD" "2011-Q4" -.596028 111.14565 "NLD" "2012-Q1" -.216573 108.9804 "NLD" "2012-Q2" .064111 107.28593 "NLD" "2012-Q3" -.426776 102.23032 "NLD" "2012-Q4" -.708357 101.78844 "NLD" "2013-Q1" .327541 98.08289 "NLD" "2013-Q2" -.180949 96.39162 "NLD" "2013-Q3" .605075 96.21662 "NLD" "2013-Q4" .633838 96.30658 "NLD" "2014-Q1" -.099695 95.78539 "NLD" "2014-Q2" .585676 96.76814 "NLD" "2014-Q3" .252766 96.58524 "NLD" "2014-Q4" .900677 97.6215 "NLD" "2015-Q1" .589031 99.25961 "NLD" "2015-Q2" .316472 99.47125 "NLD" "2015-Q3" .339938 100.1688 "NLD" "2015-Q4" .016386 101.10033 "NLD" "2016-Q1" .906044 102.56538 "NLD" "2016-Q2" .220417 103.2975 "NLD" "2016-Q3" 1.145374 105.19594 "NLD" "2016-Q4" .860028 106.61266 "NLD" "2017-Q1" .490426 107.79723 "NLD" "2017-Q2" .909608 109.81923 "NLD" "2017-Q3" .690211 111.25238 "NLD" "2017-Q4" .789482 114.22588 "NLD" "2018-Q1" .575801 116.01057 "NLD" "2018-Q2" .688609 117.69238 "NLD" "2018-Q3" .265952 120.07318 "NLD" "2018-Q4" .54636 121.69694 "NLD" "2019-Q1" .484991 122.44673 "NLD" "2019-Q2" .326844 124.3768 "NLD" "2019-Q3" .418324 124.5507 "NLD" "2019-Q4" .389318 126.31741 end
For each country, there are 60 observations, starting from 2005 q1 to 2019 q4.
The results look like this for Netherlands when I use 4 lags
Code:
. xtgcause gdp_value hp_value, lags(4) Dumitrescu & Hurlin (2012) Granger non-causality test results: -------------------------------------------------------------- Lag order: 4 W-bar = 3.9732 Z-bar = -0.0095 (p-value = 0.9925) Z-bar tilde = -0.0649 (p-value = 0.9483) -------------------------------------------------------------- H0: hp_value does not Granger-cause gdp_value. H1: hp_value does Granger-cause gdp_value for at least one panelvar (country).
Code:
. xtgcause gdp_value hp_value, lags(aic) Dumitrescu & Hurlin (2012) Granger non-causality test results: -------------------------------------------------------------- Optimal number of lags (AIC): 18 (lags tested: 1 to 18). W-bar = 97.5175 Z-bar = 13.2529 (p-value = 0.0000) Z-bar tilde = 1.4734 (p-value = 0.1407) -------------------------------------------------------------- H0: hp_value does not Granger-cause gdp_value. H1: hp_value does Granger-cause gdp_value for at least one panelvar (country). . xtgcause gdp_value hp_value, lags(bic) Dumitrescu & Hurlin (2012) Granger non-causality test results: -------------------------------------------------------------- Optimal number of lags (BIC): 18 (lags tested: 1 to 18). W-bar = 97.5175 Z-bar = 13.2529 (p-value = 0.0000) Z-bar tilde = 1.4734 (p-value = 0.1407) -------------------------------------------------------------- H0: hp_value does not Granger-cause gdp_value. H1: hp_value does Granger-cause gdp_value for at least one panelvar (country).
Which one should I use for interpreting the causal relationship? Z bar or Z bar tilde?
Please help!
0 Response to xtgcause command: z bar or z bar tilde. What to use?
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