tag:blogger.com,1999:blog-2198942534740642384.post1679550699398439942..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Granger CausalityDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger21125tag:blogger.com,1999:blog-2198942534740642384.post-76697813151939220082013-03-10T15:14:37.230-07:002013-03-10T15:14:37.230-07:00Having extensively consulted your posts on causali...Having extensively consulted your posts on causality testing for my honours thesis...yes...please write a book. Great help!Anonymoushttps://www.blogger.com/profile/10833755114992122938noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-60367129472003980432013-02-07T11:46:59.467-08:002013-02-07T11:46:59.467-08:00This is an excellent idea, I already suggested in ...This is an excellent idea, I already suggested in another comment. A book/article would be highly appreciated since there is much confusion around how to test for Granger-causality. I find the already existing blog entries very helpful, and I hope there are many more to come on related issues, or preferably, of course, a book/article on that. I'm looking forward to it!Georg Leheckahttp://www.lehecka.netnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-39980169715108978842013-02-05T04:09:38.667-08:002013-02-05T04:09:38.667-08:00Sure,
There are not good practical-empirical books...Sure,<br />There are not good practical-empirical books using examples with real data. The manual examples you may never see in practice where data has outliers, breaks, nonlinearities, far from normal distributions, etc. Showing examples with real data and open source software like R, would definitely be a great value.<br />Good luck<br /><br />Rbalihttps://www.blogger.com/profile/14222551786487588817noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-2844994088221585692013-01-29T09:30:52.183-08:002013-01-29T09:30:52.183-08:00Thank you, Dr. Giles. It would be much appreciated...Thank you, Dr. Giles. It would be much appreciated! I am sure some advice on the implementation within panel (unbalanced in particular) would be of great help. BerylAnonymoushttps://www.blogger.com/profile/07685492513380624201noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-87336589685191830962013-01-29T07:51:31.226-08:002013-01-29T07:51:31.226-08:00Hello,
First of all, thank you for this wonderful...Hello,<br /><br />First of all, thank you for this wonderful blog.<br /><br />I wanted to do a VAR model in my next memory since I have not studied the model before I wanted to know if my approach is correct or not?<br />1 / Make a stationarity test of two variables (with ADF): the two variables are stationary fortunately<br />2 / represent in the VAR model (note that I work with stata)<br />3 / when I find p-value = <5% (critical value chosen) of a variable I can say it affects the other<br />Could you confirm the accuracy of my approach? or I need another tests for relevant results<br />Another question: when I do Granger causality is the same p-value that appears in the step 3 so not need to do it?<br /><br />I think I would prefer e-book to printed tunisianhttps://www.blogger.com/profile/18246050422951631634noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-59151146885704695442013-01-28T15:16:50.073-08:002013-01-28T15:16:50.073-08:00I would be interested in such a text/file. While ...I would be interested in such a text/file. While it may be a bit more advanced, I'd also be interested if it included some discussion on the topic of Bayesian VAR and/or Qual VAR (http://research.stlouisfed.org/wp/2001/2001-012.pdf).Finn0123noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-45624470498296200182013-01-28T13:09:27.674-08:002013-01-28T13:09:27.674-08:00Yes, a non-specialist's guide to testing for G...Yes, a non-specialist's guide to testing for Granger causality would be very useful, for students and practitioners. I would prefer an e-book version :). I have benefited from some earlier posting by Professor Giles on Granger causality. Really looking forward to this. Ronald Ravinesh Kumarhttps://www.blogger.com/profile/11103586911787182334noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-47862844967483661462013-01-28T12:33:58.240-08:002013-01-28T12:33:58.240-08:00I would also buy a dead-tree version. Also, I stil...I would also buy a dead-tree version. Also, I still have not found an applied time series book that I like.Dimitriyhttps://www.blogger.com/profile/02728704178088861714noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-71064594651281877572013-01-28T12:00:15.392-08:002013-01-28T12:00:15.392-08:00Maybe blog chapters? With data and code downloads ...Maybe blog chapters? With data and code downloads as you are already doing! The format you are using for your blog posts works excellent for me as a practitioner!<br /><br />T.E.H. Nottenhttps://www.blogger.com/profile/12145299027396766860noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-36196015552151765272013-01-28T11:22:24.516-08:002013-01-28T11:22:24.516-08:00Would definitely be a market for such a book among...Would definitely be a market for such a book amongst grad students and undergrads. Mostly Harmless Econometrics has been very popular because of its more simplified, applied approach.Joel Whttp://twitter.com/JoelWWoodnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-88539482557632346872013-01-28T08:39:47.934-08:002013-01-28T08:39:47.934-08:00The sense I get, as an applied person, is that the...The sense I get, as an applied person, is that the need exists insofar as Granger (non)causality purports to offer some manner of establishing causality, it is interesting to support panel results with a weak instrument, especially if the series are sufficiently long. But the literature appears to have definitively moved away from the method, and if I were to include it in a paper, it would almost certainly be a form of alternative estimation approach/robustness test rather than as the baseline methodology. I understand that those who do research on the topic realize that there are many nuances to the issue (as is the case for anyone who does research on any method), but I would agree with David that a "practitioner's"-type article would probably be more welcome (although not so much a survey paper; something more akin to Roodman's very popular xtabond2 paper is what I'm thinking).Jamus Limhttp://www.jamus.name/noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-59270026932101150162013-01-28T08:15:51.179-08:002013-01-28T08:15:51.179-08:00As a practitioner in the private sector, I'd l...As a practitioner in the private sector, I'd love to see a short, practical book on the art and science of Granger causality testing. Unlike academics, we generally don't have access to JSTOR and the like; and, as I think a lot of people would agree, reading many papers about a topic and then trying to distill a consensus or set of best practices is not easy unless you've been closely following the literature. A short book that summarizes everything sure would be nice! I'd buy a few copies for myself and my assistants.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-21894651251545084212013-01-28T08:09:08.462-08:002013-01-28T08:09:08.462-08:00Thanks for the feedback!
DGThanks for the feedback!<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-84234523327587858382013-01-28T07:36:43.557-08:002013-01-28T07:36:43.557-08:00As a practitioner, I would buy this book.
I think...As a practitioner, I would buy this book.<br /><br />I think I would prefer printed to e-book. I like having my references on a shelf at my desk.<br /><br />Love the blog, by the way.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-47177459502636608282013-01-28T01:37:55.140-08:002013-01-28T01:37:55.140-08:00"Is there a demand for a short monograph on t..."Is there a demand for a short monograph on testing for Granger causality, with the emphasis on the practice, not the theory. In other words, a "how to do it properly" book for non-specialists, with lots of real-data examples."<br /><br />I must admit, this could apply to a heck of a lot of topics in econometrics and especially in time series. I think there's a lack of good 'applied' econometrics books out there, they seem to be few and far between. <br /><br />But to answer your questions:<br /><br />(1) Yep I think there's a definite need for a monograph on GC. <br /><br />(2) I think an e-book would be perfect, it'll make it more accessible to students and practitioners. <br /><br />(3) Absolutely would interest me!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-11230899665318790442013-01-27T23:48:03.175-08:002013-01-27T23:48:03.175-08:00ebook sounds good. Also, there is a built in marke...ebook sounds good. Also, there is a built in market among undergraduates. Econometrics tends to be the most daunting thing for that group.Nathan Tankushttp://twitter.com/NathanTankusnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-73592922466728113412013-01-27T20:27:56.580-08:002013-01-27T20:27:56.580-08:00Granger causality is used in financial trading str...Granger causality is used in financial trading strategies -- that may also be why.Sinahttps://www.blogger.com/profile/07215169480944612100noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-82437716061982370392013-01-27T18:52:16.861-08:002013-01-27T18:52:16.861-08:00David - perhaps you're right. There's a lo...David - perhaps you're right. There's a lot to cover, though. Stationary and non-stationary data; structural breaks; nonlinear causality; indirect causality; instantaneous causality; asymmetric causality; data frequency issues;......<br />Something to ponder!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-71937460376382999732013-01-27T18:48:40.422-08:002013-01-27T18:48:40.422-08:00Ryan - thanks!Ryan - thanks!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-89759730745309703602013-01-27T17:14:32.153-08:002013-01-27T17:14:32.153-08:00Does it need to be book length? How about a "...Does it need to be book length? How about a "practitioners" journal article/working paper?David Sternhttps://www.blogger.com/profile/16744705511660270649noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-80719798893021653102013-01-27T16:47:39.265-08:002013-01-27T16:47:39.265-08:00I'm sure students here would greatly benefit. ...I'm sure students here would greatly benefit. I would definitely use this if I were teaching time series.Anonymoushttps://www.blogger.com/profile/13339188302292623811noreply@blogger.com