SAS/ETS Examples

Bivariate Granger Causality Test

SAS Program

   /*-----------------------------------------------------------------
     Example: Bivariate Granger Causality Test
     Requires: SAS/ETS, SAS/IML, SAS/GRAPH
     Version: 9.0
     ------------------------------------------------------------------*/


   title 'Bivariate Granger Causality Test';


   data gdp;
     set sashelp.citiqtr;
     keep date gdpq;
   run;


   data gp;
     set sashelp.citimon;
     keep date eegp;
   run;



   proc expand data=gp out=temp from=month to=qtr;
     convert eegp / observed=average;
     id date;
   run;


   data combined;
     merge gdp temp;
     by date;
   run;


   data causal;
     set work.combined;

     gdpq_1 = lag(gdpq);
     gdpq_2 = lag2(gdpq);

     eegp_1 = lag(eegp);
     eegp_2 = lag2(eegp);
   run;


   /** Granger Form **/

   *   unrestricted model;
   proc autoreg data=causal;
      model gdpq = gdpq_1 gdpq_2 eegp_1 eegp_2;
      output out=out1 r=e1;   /* output residuals */
   run;


   *   restricted model;
   proc autoreg data=out1;
      model gdpq = gdpq_1 gdpq_2;
      output out=out2 r=e0;    /* output residuals */
   run;



   ods select Iml._LIT1010
              Iml.TEST1_P_VAL1
              Iml.TEST2_P_VAL2;

   ods html body='exgran01.htm';

   *   compute test;
   proc iml;

      start main;

      use out1;
      read all into e1 var{e1};
      close out1;

      use out2;
      read all into e0 var{e0};
      close out2;


      p = 2;           /* # of lags         */
      T = nrow(e1);    /* # of observations */

      sse1 = ssq(e1);
      sse0 = ssq(e0);

      * F test;
      test1 = ((sse0 - sse1)/p)/(sse1/(T - 2*p - 1));
      p_val1 = 1 - probf(test1,p,T - 2*p - 1);

      * asymtotically equivalent test;
      test2 = (T * (sse0 - sse1))/sse1;
      p_val2 = 1 - probchi(test2,p);

      print "IML Result",, test1 p_val1,,
                           test2 p_val2;
      finish;
   run;
   quit;

   ods html close;



   *   Plot of the two series;

   data trans;
      set combined;
      keep date gdpq eegp;
      obs = _n_;
      gdpq = (gdpq - 3600)/1400;
      eegp = (eegp - 80)/70;
   run;


   title1 ' GDP and Gasoline Price';

   axis1 label=(angle=90 'Gross Domestic Product')
         order=(0 to 1 by .142) minor=none major=none offset=(0,0)
         value=('3600' '3800' '4000' '4200' '4400' '4600' '4800' '5000');

   axis2 label=(angle=90 'Gasoline Price')
         order=(0 to 1 by .142) minor=none major=none offset=(0,0)
         value=('80' '90' '100' '110' '120' '130' '140' '150');

   axis3 label=('Date');

   symbol1 color=red interpol=join value=none;
   symbol2 color=blue interpol=join value=none;

   proc gplot data=trans;
      format date year4.;
      plot gdpq*date / cframe=ligr
                vaxis=axis1 haxis=axis3;
      plot2 eegp*date / cframe=ligr
                vaxis=axis2;
   run;
   quit;
FOCUS AREAS

SAS/ETS Examples

Bivariate Granger Causality Test

SAS Program
