Download EViews 7 User's Guide I

Label—429
y t = a 0 + a 1 y t – 1 + º + a l y t – l + b 1 x t – 1 + º + b l x –l + e t
x t = a 0 + a 1 x t – 1 + º + a l x t – l + b 1 y t – 1 + º + b l y –l + u t
(12.46)
for all possible pairs of ( x, y ) series in the group. The reported F-statistics are the Wald statistics for the joint hypothesis:
b1 = b2 = º = bl = 0
(12.47)
for each equation. The null hypothesis is that x does not Granger-cause y in the first
regression and that y does not Granger-cause x in the second regression.
We illustrate using data on consumption and GDP using the data in the workfile
“Chow_var.WF1”. The test results are given by:
Pairwise Granger Causality Tests
Date: 08/18/0 9 Time: 16:10
Sample: 1946Q1 1995Q4
Lags: 4
Null Hypothesis:
Obs
F-Statistic
Prob.
GDP does not Grange r Cause CS
CS does not Granger Cause GDP
189
1.39156
7.11192
0.2387
2.E-05
For this example, we cannot reject the hypothesis that GDP does not Granger cause CS but
we do reject the hypothesis that CS does not Granger cause GDP. Therefore it appears that
Granger causality runs one-way from CS to GDP and not the other way.
If you want to run Granger causality tests with other exogenous variables (e.g. seasonal
dummy variables or linear trends) or if you want to carry out likelihood ratio (LR) tests, run
the test regressions directly using equation objects.
Label
This view displays the label information of the group. You can edit any of the field cells in
the label view, except the Last Update cell which shows the date/time the group was last
modified.
Name is the group object name as it appears in the workfile; you can rename your group by
editing this cell. If you fill in the Display Name cell, EViews will use this name in some of
the tables and graphs of the group view. Unlike object names, display names preserve case
(allow upper and lower case letters) and may contain spaces.
See Chapter 10. “EViews Databases,” on page 267 for a discussion of the label fields and
their use in database searches.