* Causality in OLS Model for quarterly GDP
*
* Keywords:
* regression, ols, granger, causality, test, quarterly, money supply, gdp,
* canada
*
* Description:
* We illustrate how to estimate OLS Models for quarterly Canadian GDP and
* Money Supply and apply Granger Causality Test to them
*
* Author(s):
* Skif Pankov
*
* Source:
* Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition
* McGraw-Hill International Edition, Chapter 17, Example 17.14 (page 656)
*
sample 1 40
* Reading the datafile and naming variables
read(data_17.13.shd) m1 r p gdp
* Running a set of Granger causality tests by estimating regressions with
* different lags - the F-statistic which determines the outcome of the test
* is the JOINT-F on the independent variable (with lags) in each regression
* 2 lags
ols m1 m1(1.2) r(1.2)
ols r r(1.2) m1(1.2)
* 4 lags
ols m1 m1(1.4) r(1.4)
ols r r(1.4) m1(1.4)
* 6 lags
ols m1 m1(1.6) r(1.6)
ols r r(1.6) m1(1.6)
* 8 lags
ols m1 m1(1.8) r(1.8)
ols r r(1.8) m1(1.8)
stop