granger

  1. M

    Spurious Regression with non stationary time-series

    Hi everyone, I'd like to have a confirmation on the correctness of the following interpretation: Let say that we want to run a very simple regression like the following one: We are regressing two I(1) series since x and y are assumed to be both described by a random walk process. The errors of...
  2. J

    Causality test

    Do you know what is the "Hafner and Herwartz" causality-in-variance test, or else called LM-GARCH? And how you run it on eviews (or gretl)? If I have understood it well, it is a Granger causality test between Garch standardized residuals. Is this correct? Any help would be very much...
  3. M

    Granger Causality and Heteroskedasticity

    Hello! My name is Magdalena and I have the following problem; I have daily returns of 60 firms from the year 2000 to 2015. My aim is to test for granger causality between them and to see which firms are leaders or followers over different time periods. I would like to test for Granger...
  4. S

    Granger / Wald test interpretation

    Hi, I have the following results from a Granger test. Can someone tell me how to interpret them? I understand that p.val(ue) < 0.05 is significant for rejecting the null hypothesis. BUT do ftest or r2(squared) add info information? A g-cause B ftest = 7.523583 p.val = 0.006165445 R2 =...
  5. H

    Granger Causality Test. Stationary or non-stationary data? (Eviews)

    Hi, Is it correct to use Granger Causality Tests on non-stationary, i(1), time-series? Or should I (log)difference my data first? I cannot seem to find the answer to this question in any of my books or online. Thank you very much for your help.
  6. P

    GRANGER CAUSALITY test on spss

    I couldn't find information on how to conduct GRANGER CAUSALITY test for two variables in SPSS. Can anyone help please?