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Show whether changes in the U.S. stock price cause changes
Show whether changes in the U.S. stock price cause changes in the Chinese stock prices or the other way using the Granger causality test.
Show whether changes in the U.S. stock price cause changes
Whether changes in the U.S. stock price cause changes in the Chinese stock prices or the other way using the Granger causality test
Software: STATA
Utilize the following regression techniques to estimate the model, and you have to use Stata software
(1) Granger Causality Tests
(2) VAR (Vector Autoregressive Model)
(3) Impulse Response Function (IRF)
More details;
Granger causality tests
The structures of the causal relationships between variables were analyzed through the Granger causality approach. The Granger causality test is a statistical hypothesis test for determining whether one time series is useful for forecasting another. If probability value is less than any ORDER NOW