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 > Inviato da Yahoo Mail su Android > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > 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 [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
