Test

[Jad Tamimi]

varsoc r_sp500 r_oil r_fx, maxlag(5)

Lag-order selection criteria

   Sample: 7 thru 2479, but with a gap                   Number of obs = 2,466
  +---------------------------------------------------------------------------+
  | Lag |    LL      LR      df    p     FPE       AIC      HQIC      SBIC    |
  |-----+---------------------------------------------------------------------|
  |   0 |  22653.8                     2.1e-12  -18.3705  -18.3679  -18.3634  |
  |   1 |  22743.6  179.64    9  0.000 2.0e-12   -18.436  -18.4258  -18.4077* |
  |   2 |  22769.8  52.367    9  0.000 1.9e-12    -18.45   -18.432  -18.4005  |
  |   3 |  22801.6  63.678    9  0.000 1.9e-12  -18.4685  -18.4428  -18.3978  |
  |   4 |  22835.8  68.399*   9  0.000 1.9e-12* -18.4889* -18.4555*  -18.397  |
  |   5 |  22842.1  12.617    9  0.181 1.9e-12  -18.4867  -18.4456  -18.3736  |
  +---------------------------------------------------------------------------+
   * optimal lag
   Endogenous: r_sp500 r_oil r_fx
    Exogenous: _cons

[Jad Tamimi]

vargranger

   Granger causality Wald tests
  +------------------------------------------------------------------+
  |          Equation           Excluded |   chi2     df Prob > chi2 |
  |--------------------------------------+---------------------------|
  |           r_sp500              r_oil |  27.643     4    0.000    |
  |           r_sp500               r_fx |  16.087     4    0.003    |
  |           r_sp500                ALL |  40.572     8    0.000    |
  |--------------------------------------+---------------------------|
  |             r_oil            r_sp500 |   42.42     4    0.000    |
  |             r_oil               r_fx |  7.1302     4    0.129    |
  |             r_oil                ALL |  49.628     8    0.000    |
  |--------------------------------------+---------------------------|
  |              r_fx            r_sp500 |  68.965     4    0.000    |
  |              r_fx              r_oil |  3.2057     4    0.524    |
  |              r_fx                ALL |  78.789     8    0.000    |
  +------------------------------------------------------------------+