* 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