三 因果检验
首先输入命令show y x
在点击”View”-“Granger Causality”（取lag从5到1）
|
Lags: 5 | |||
|
Null Hypothesis: |
Obs |
F-Statistic |
Probability |
|
X does not Granger Cause Y |
51 |
0.82023 |
0.54261 |
|
Y does not Granger Cause X |
1.35296 |
0.26244 | |
|
Lags: 4 | |||
|
Null Hypothesis: |
Obs |
F-Statistic |
Probability |
|
X does not Granger Cause Y |
52 |
0.41024 |
0.80026 |
|
Y does not Granger Cause X |
1.34815 |
0.26777 | |
|
Lags: 3 | |||
|
Null Hypothesis: |
Obs |
F-Statistic |
Probability |
|
X does not Granger Cause Y |
53 |
0.42866 |
0.73342 |
|
Y does not Granger Cause X |
2.88146 |
0.04590 | |
|
Lags: 2 | |||
|
Null Hypothesis: |
Obs |
F-Statistic |
Probability |
|
X does not Granger Cause Y |
54 |
1.31021 |
0.27905 |
|
Y does not Granger Cause X |
4.87694 |
0.01171 | |
|
Lags: 1 | |||
|
Null Hypothesis: |
Obs |
F-Statistic |
Probability |
|
X does not Granger Cause Y |
55 |
1.36051 |
0.24877 |
|
Y does not Granger Cause X |
4.70117 |
0.03474 | |
拒绝x是y的原因犯错误的概论分别（lags从1到5）为：0.24877，0.27905，0.73342，0.80026，0.54261，平均起来有0.520822的概论还是很大的，所以不能拒绝x是y的解释原因。
拒绝y是x的原因犯错误的概论分别（lags从1到5）为：0.03474，0.01171，0.04590，0.26777，0.26244，平均一下只有0.124512，概论比较小。所以拒绝y是x的原因。
结论：x是y的解释原因，但y不是x的解释原因。这和实际也比较符合。
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