格兰杰因果检验和向量自回归(VAR)模型问题
格兰杰因果检验和向量自回归(VAR)模型问题
我已经做完格兰杰因果检验,结果如下.Pairwise Granger Causality Tests
Date:05/07/12 Time:12:55
Sample:1990 2010
Lags:2
Null Hypothesis:x05Obsx05F-Statisticx05Probability
SER02 does not Granger Cause SER01x0519x05 0.33516x05 0.72081
SER01 does not Granger Cause SER02x05 2.03279x05 0.16785
SER03 does not Granger Cause SER01x0519x05 8.32044x05 0.00416
SER01 does not Granger Cause SER03x05 3.83285x05 0.04704
SER04 does not Granger Cause SER01x0519x05 4.76461x05 0.02640
SER01 does not Granger Cause SER04x05 0.15004x05 0.86204
SER05 does not Granger Cause SER01x0519x05 4.81833x05 0.02557
SER01 does not Granger Cause SER05x05 1.76083x05 0.20791
SER03 does not Granger Cause SER02x0519x05 2.84640x05 0.09178
SER02 does not Granger Cause SER03x05 4.73175x05 0.02692
SER04 does not Granger Cause SER02x0519x05 1.83852x05 0.19545
SER02 does not Granger Cause SER04x05 0.10371x05 0.90218
SER05 does not Granger Cause SER02x0519x05 5.76340x05 0.01493
SER02 does not Granger Cause SER05x05 3.80248x05 0.04798
SER04 does not Granger Cause SER03x0519x05 4.71858x05 0.02714
SER03 does not Granger Cause SER04x05 0.51736x05 0.60706
SER05 does not Granger Cause SER03x0519x05 0.27672x05 0.76232
SER03 does not Granger Cause SER05x05 2.79020x05 0.09553
SER05 does not Granger Cause SER04x0519x05 0.21012x05 0.81299
SER04 does not Granger Cause SER05x05 4.59718x05 0.02919
他们有的相互之间存在因果关系,有的不存在.
那我下一步做VAR模型的时候如何选择外生变量啊.难道有的变量直接被抛弃?财富过后还可追加.