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]]
On Fri, 30 Nov 2018 at 14:40, Eneida Permeti via R-help < r-help at 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 at 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:frainj at tcd.ie mailto:frainj at gmail.com [[alternative HTML version deleted]]
----- Forwarded Message ----- From: Eneida Permeti <permeti.eneida at yahoo.com>To: John C Frain <frainj at 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 <frainj at gmail.com> wrote: On Fri, 30 Nov 2018 at 14:40, Eneida Permeti via R-help <r-help at 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 at 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:frainj at tcd.ie mailto:frainj at gmail.com?
----- Forwarded Message ----- From: Eneida Permeti <permeti.eneida at yahoo.com>To: John C Frain <frainj at 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 <frainj at gmail.com> wrote: On Fri, 30 Nov 2018 at 14:40, Eneida Permeti via R-help <r-help at 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 at 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:frainj at tcd.ie mailto:frainj at gmail.com?