probleme to perform rolling granger causality test

[oussama zen]

Dears,

i am a new one on this forum and on stata, thank you for your help
my question is :
I want to run a rolling rolling granger causality test according to the following program:

Part1:

* program to do rolling granger causality test
. capt prog drop rgranger
. prog rgranger, rclass
syntax varlist(min=2 numeric ts) [if] [in] [, Lags(integer 2)]
var `varlist´ `if´ `in´, lags(1/`lags´)
vargranger
matrix stats = r(gstats)
return scalar s2c = stats[3,3]
return scalar s2i = stats[6,3]
return scalar s2y = stats[9,3]
end

Part2:

*rolling window regressions
rolling pc = r(s2c) pi = r(s2i) py = r(s2y), window(35) saving(wald,replace) : rgranger lconsumption linvestment lincome, lags(4)

Despite the fact that I save part 1 in an .ado file and put it in "PLUS: c: \ ado \ plus ", when I run rolling as shown in part 2, I get the message : invalid name.

Please is there someone who can help me overcome this problem.
thank you in advance

[Joro Kolev]

Type

set trace on

repeat what you are doing, then look up to the error message in red, and copy and paste here some couple of lines before and after the error message.

[oussama zen]

Dear,
Thank you for your support:
this is the return the message:



Dheadernew, `nocnsreport'
eret display, level(`level') `options'
exit
}
- local cmdline : copy local 0
- syntax varlist(ts) [if][in] , [LAgs(numlist min=1 sort integer >=1) EXog(varlist ts) CONSTraints(numlist sort) noConstant DFK LUTstats noBIGf Level(cilevel) SMall noISure ITerate(numlis
> t max =1 integer >0 ) TOLerance(numlist max =1 >0 <1 ) NOCNSReport NOLOg LOg noDISPlay ZLags noMODEL *]
` invalid name
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- end var ---
---------------------------------------------------------------------------------------------------------------------------------------------------------------------------- end rgranger ---
- restore
- `traceoff'
=
- local rc = c(rc)
- if `rc' {
= if 198 {
- _prefix_run_error `rc' rolling `cmdname'
= _prefix_run_error 198 rolling rgranger
----------------------------------------------------------------------------------------------------------------------------------------------------------------- begin _prefix_run_error ---
- version 9
- args rc caller cmdname
- di as err `"an error occurred when {bf:`caller'} executed {bf:`cmdname'}"'
= di as err `"an error occurred when {bf:rolling} executed {bf:rgranger}"'
an error occurred when rolling executed rgranger
- exit `rc'
= exit 198
------------------------------------------------------------------------------------------------------------------------------------------------------------------- end _prefix_run_error ---
}
----------------------------------------------------------------------------------------------------------------------------------------------------------------------- end rolling.Rolling ---
- _prefix_clear, e r




all the best

[William Lisowski]

It is my belief that you copied-and-pasted your code either from a source with the wrong sort of quotation marks. Your command was

var `varlist´ `if´ `in´, lags(1/`lags´)

To have Stata substitute the value of a local macro

 shortcut

you need to type on your keyboard

 `shortcut'

where the first character is (on an American English keyboard) the "left single quote" beneath the tilde (~) character below the ESC key, and the final character is the usual "single quote" ("apostrophe") just to the left of the RETURN key. Neither of these are "smart quotes" as understood in programs like Microsoft Word, and in particular the first character is correctly titled the "grave accent". Your code has smart single quotes.

Note that the Stata PDF documentation unfortunately displays local macro references incorrectly using smart single quotes as

 ‘shortcut’ 

which leads to no end of confusion, especially because such code will not work if copied and pasted into Stata. On the other hand, it does look elegant in the printed documentation.

[oussama zen]

thank you dear william for your support
it works now

[Pita Fouta]

Hi William Lisowski ,


Do you know how to apply "as reg" for a rollling window granger causality or a time varying granger causality on Stata ? I have searched for a long time on forums and found nothing except an add in named roll a added in Eviews.

Thanks in advance.

Pita