----- Forwarded Message ----- From: Eneida Permeti
<permeti.ene...@yahoo.com>To: John C Frain <fra...@gmail.com>Sent: Friday,
November 30, 2018, 9:24:01 AM PSTSubject: Re: [R] Granger casuality test in r
Dear JohnThank you for responding me.I have attached my data. I am studying
the relationship between Public debt and economic growth.The time series of
public debt is not stationary an I have differenced it.Than I have estimated a
VAR model.But by the results of Granger causality test, I am afraid that
something is wrong.Please can you help me?Best regardsEneida Permeti
On Friday, November 30, 2018, 8:17:09 AM PST, John C Frain
<fra...@gmail.com> wrote:
On Fri, 30 Nov 2018 at 14:40, Eneida Permeti via R-help <r-help@r-project.org>
wrote:
The results of my Granger causality test in r are below. VARp is my VAR model
and I have two endogenous variables. From the results, I have only
instantaneous causality. What does it mean?Thank you so much
> causality(VARp,cause="The.economic.growth")
$Granger
Granger causality H0: The.economic.growth do not Granger-cause
The.differenced.public.debt
data: VAR object VARp
F-Test = 0.4038, df1 = 6, df2 = 8, p-value = 0.8573
$Instant
H0: No instantaneous causality between: The.economic.growth and
The.differenced.public.debt
data: VAR object VARp
Chi-squared = 6.0964, df = 1, p-value = 0.01355
> causality(VARp,cause="The.differenced.public.debt")
$Granger
Granger causality H0: The.differenced.public.debt do not Granger-cause
The.economic.growth
data: VAR object VARp
F-Test = 0.70214, df1 = 6, df2 = 8, p-value = 0.6572
$Instant
H0: No instantaneous causality between: The.differenced.public.debt and
The.economic.growth
data: VAR object VARp
Chi-squared = 6.0964, df = 1, p-value = 0.01355
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It appears that you have not found Granger causality. I would not be surprised
at this result.
You growth rate is almost equivalent to the log difference of GPD at constant
prices. (real GDP). I suspect that your The.differenced.public.debt is at
current prices and is not log transformed.
Granger Causality requires you to control for other variables. For example
other variables may be causing both of your variables. If such is the case your
finding of Granger Causality may be spurious.
3 Aranleigh Park
Rathfarnham
Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:fra...@tcd.ie
mailto:fra...@gmail.com
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