제10장 Granger인과관계 검정 - elearning.kocw.net

1 10 Granger 10 Granger Granger (Granger causality test) ( ) ( ) , .. (distributed lag model) (causality test) ( Granger, 1969) ..yt= + 0xt+ 1xt-1+ 2xt-2+ + nxt-n+ t 10 Granger Granger (Granger causality test) A B A B B A ( post hoc fallacy).. Granger (Granger causality test) . Damondar N. Gujarati & Dawn C. Porter, Basic Econometrics, 5thed., 17 . 10 Granger Granger (Granger causality test) Granger F- . Granger y ( ) y x y ( ) x y . x ( ) y x ( ) y x.

2 X y . 10 Granger Granger (Granger causality test) Granger (H0) . Granger .yt= i=1 p ixt-i+ j=1 p jyt-j+ 1txt= i=1 n ixt-i+ j=1 p jyt-j+ 2t x y y y x . y y . t iid(independently and identically distributed) . 10 Granger Granger (Granger causality test) Granger Workfile . eviews sample-07 . 10 Granger Granger (Granger causality test) (transmission) (short), (mid), (long) (group) . 10 Granger (short-term rate) (federal fund rate : FFR), (intermediate-term rate) 3 (government bond yields), (long-term rate) 10 (government bond yields).

3 Granger (Granger causality test) (group) View/Granger Causality . 10 Granger Granger (Granger causality test) Granger Causality (lag specification) . 10 Granger 2 Lags to include 2 OK .Granger (Granger causality test) Granger ( 2). 10 Granger 1% .. 1% ..Granger (Granger causality test) Granger Causality (lag specification) Lags to include 6 OK . 10 Granger 6 Lags to include 6 OK .Granger (Granger causality test) Granger ( 6). 10 Granger 1% .. 1% ..6 2.

4 Granger (Granger causality test) Granger ( 12). 10 Granger 12 2 , 6 .Granger (Granger causality test) Granger (lags) (lag lengths) . (monthly data) 1, 4, 6, 12, 24 . (quarterly data) 1, 4, 8, 12, . (yearly data) . F- . 10 Granger