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2013-03-19
我想用计量模型证明一个因素对另外一个因素影响很小或者没有影响,应该怎么建立计量模型?
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2013-3-19 12:57:54
Do regression of one factor on the other factor, if the coefficient is not significant (may be based on the t statistic), then you can conclude that the influence of the factor is neglible. Of course, this suggestion is too general, you may combine the analysis with the economic models or phenomenon.
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2013-3-19 13:31:01
cbqywl 发表于 2013-3-19 12:57
Do regression of one factor on the other factor, if the coefficient is not significant (may be based ...
直接做一元回归就行了么?如果加入多个变量不会影响结果吧?要不要做格兰杰?谢谢了
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2013-3-20 12:08:34
The in sample Granger Causality test is essentially a significant test. If lags of one variable significantly affect current value of another variable, then one say this variable granger cause the other variable. So you need to focus on the problem you analyze. Of course, using some notation may make your analysis looks "advanced", but it's not the most important thing.
Adding other variables may change the result, even the sign of the estimated coefficient may change. This may due to the endogeneity problem, you may read some elementary books for this, for example Woodridge's book. When the added variables are independent of the original vairable, the result may not change.
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2013-3-20 20:55:24
cbqywl 发表于 2013-3-20 12:08
The in sample Granger Causality test is essentially a significant test. If lags of one variable sign ...
thank you
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2013-3-20 21:04:43
据我的理解
格兰杰是检验两个变量是不是内生的关系~
如果单纯要看两者的关系,像那位大神讲的~直接回归或者做t检验或者看相关系数~
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