Eviews格兰杰因果关系检验结果说明

Eviews格兰杰因果关系检验结果说明

一、经济变量之间的因果性问题

计量经济模型的建立过程，本质上是用回归分析工具处理一个经济变量对其他经济变量的依存性问题，但这并不是暗示这个经济变量与其他经济变量间必然存在着因果关系。

由于没有因果关系的变量之间常常有很好的回归拟合，把回归模型的解释变量与被解释变量倒过来也能够拟合得很好，因此回归分析本身不能检验因果关系的存在性，也无法识别因果关系的方向。

假设两个变量，比如国内生产总值GDP和广义货币供给量M，各自都有滞后的分量GDP(-1)，GDP(-2)…，M(-1)，M(-2)，…，显然这两个变量都存在着相互影响的关系。但现在的问题是:究竟是M引起GDP的变化，还是GDP引起M的变化，或者两者间相互影响都存在反馈，即M引起GDP的变化，同时GDP也引起M的变化。这些问题的实质是在两个变量间存在时间上的先后关系时，是否能够从统计意义上检验出因果性的方向，即在统计上确定GDP是M的因，还是M是GDP的因，或者M和GDP互为因果。

因果关系研究的有趣例子是回答“先有鸡还是先有蛋”的问题。1988年有两位学者Walter N. Thurman和Mark E. Fisher用美国1930——1983年鸡蛋产量(EGGS)和鸡的产量(CHICKENS)的年度数据，对此问题进行了统计研究。他们运用格兰杰的方法检验鸡和蛋之间的因果关系，结果发现，鸡生蛋的假设被拒绝，而蛋生鸡的假设成立，因此，蛋为因，鸡为果，也就是先有蛋。他们并建议作其他诸如“谁笑在最后谁笑得最好”、“骄傲是失败之母”之类的格兰杰因果检验。

二、格兰杰因果关系检验

strengthen the sense of responsibility, work to solve the lack of decent occupation explain away, conduct problems. To establish the

overall concept, eliminate departmentalism. Strict assessment and accountability, to solve the spiritual slack, nianqingpazhong, status quo, and other issues. To establish and perfect the muddle along Bureau staff conduct work regulations, standardize the behavior of personnel. 2. To strengthen the responsibility system. One is the in-depth study and implement the "Hunan provincial Party and government leading cadres Interim Provisions on the work safety of a pair of > (Hunan Office

issued 2013 No. 5)," Hunan province safety supervision and management responsibilities of the provisions on the production (Hunan Zhengban made 2013 No. 4) And resolutely implement the safety production of the party with responsibility, a pair of responsibility. "Two is issued safety production administration and inspection to promote the responsibilities bear safety production supervision departments strictly and effectively assumed responsibility. The three is to establish risk self correction self reporting system for safety in production enterprises, promote the enterprises to implement the main

responsibility for production safety is introduced. Four strengthen the county safety production supervision ability construction work, promote safe production responsibility to the grassroots. 3, strict

accountability and target management. Adhere to the" who is in charge, who is responsible for the pipe industry must be safe, Guan Sheng production and operation must be safe, pipe business must control

security "principle, the implementation of safety The production of "cure." stagnation supervision and leadership responsible system. The safety production of key towns, key enterprises and key problems, by the township government and the Department responsible for the stagnation

led the lump sum, to tackle tough. To further increase the production safety index assessment, strictly implement the safety production of the "one vote veto" and the reward system, strengthen the safety incentive and restraint mechanism. (six) the implementation of the work force is not strong. The documents, meeting, long work arrangement, check and supervise the implementation of small, poor implementation of the system, the work is not effective. Some leading cadres sense of purpose, consciousness of the masses is not strong, the ruling " For the people "," the interests of the masses no matter "concept understanding is not in place. The specific work treats with the deployment, a few leading cadres complain that work is too complicated, too much responsibility, the pressure is too large, too much emphasis on the difficulty of the work, such as underground mines to avoid the disaster of" six systems "construction and construction of mechanical ventilation to file the form, forwarding arrangements work, no in-depth mining enterprises to promote the specific work, the increase in the number of files, but the effect is not good, not according to the actual situation of non coal mines in the county, to engage in" across the board ", and the quality 经济学家开拓了一种可以用来分析变量之间的因果的办法，即格兰杰因果关系

检验。该检验方法为2003年诺贝尔经济学奖得主克莱夫?格兰杰(Clive W. J.

Granger)所开创，用于分析经济变量之间的因果关系。他给因果关系的定义为“依赖于使用过去某些时点上所有信息的最佳最小二乘预测的方差。”

在时间序列情形下，两个经济变量X、Y之间的格兰杰因果关系定义为:若在包含了变量X、Y的过去信息的条件下，对变量Y的预测效果要优于只单独由Y的过去信息对Y进行的预测效果，即变量X有助于解释变量Y的将来变化，则认为变量X是引致变量Y的格兰杰原因。

进行格兰杰因果关系检验的一个前提条件是时间序列必须具有平稳性，否则可能会出现虚假回归问题。因此在进行格兰杰因果关系检验之前首先应对各指标时间序列的平稳性进行单位根检验(unit root test)。常用增广的迪基—富勒检验(ADF 检验)来分别对各指标序列的平稳性进行单位根检验。

格兰杰因果关系检验假设了有关y和x每一变量的预测的信息全部包含在这些变量的时间序列之中。检验要求估计以下的回归:

(1)

(2)

其中白噪音u 和u假定为不相关的。 1t2t

式(1)假定当前y与y自身以及x的过去值有关，而式(2)对x也假定了类似的行为。

对式(1)而言，其零假设H :α=α=…=α=0。 012q

strengthen the sense of responsibility, work to solve the lack of decent occupation explain away, conduct problems. To establish the overall concept, eliminate departmentalism. Strict assessment and accountability, to solve the spiritual slack, nianqingpazhong, status

quo, and other issues. To establish and perfect the muddle along Bureau staff conduct work regulations, standardize the behavior of personnel. 2. To strengthen the responsibility system. One is the in-depth study and implement the "Hunan provincial Party and government leading cadres Interim Provisions on the work safety of a pair of > (Hunan Office

issued 2013 No. 5)," Hunan province safety supervision and management responsibilities of the provisions on the production (Hunan Zhengban made 2013 No. 4) And resolutely implement the safety production of the party with responsibility, a pair of responsibility. "Two is issued safety production administration and inspection to promote the responsibilities bear safety production supervision departments strictly and effectively assumed responsibility. The three is to establish risk self correction self reporting system for safety in production enterprises, promote the enterprises to implement the main

responsibility for production safety is introduced. Four strengthen the county safety production supervision ability construction work, promote safe production responsibility to the grassroots. 3, strict

accountability and target management. Adhere to the" who is in charge, who is responsible for the pipe industry must be safe, Guan Sheng production and operation must be safe, pipe business must control

security "principle, the implementation of safety The production of "cure." stagnation supervision and leadership responsible system. The safety production of key towns, key enterprises and key problems, by the township government and the Department responsible for the stagnation

led the lump sum, to tackle tough. To further increase the production safety index assessment, strictly implement the safety production of the "one vote veto" and the reward system, strengthen the safety incentive and restraint mechanism. (six) the implementation of the work force is not strong. The documents, meeting, long work arrangement, check and supervise the implementation of small, poor implementation of the system, the work is not effective. Some leading cadres sense of purpose, consciousness of the masses is not strong, the ruling " For the people "," the interests of the masses no matter "concept understanding is not in place. The specific work treats with the deployment, a few leading cadres complain that work is too complicated, too much responsibility, the pressure is too large, too much emphasis on the difficulty of the work, such as underground mines to avoid the disaster of" six systems "construction and construction of mechanical ventilation to file the form, forwarding arrangements work, no in-depth mining enterprises to promote the specific work, the increase in the number of files, but the effect is not good, not according to the actual situation of non coal mines in the county, to engage in" across the board ", and the quality 对式(2)而言，其零假设H :δ=δ=…=δ=0。 011s

分四种情形讨论:

(1)x是引起y变化的原因，即存在由x到y的单向因果关系。若式(1)中滞后

的x的系数估计值在统计上整体的显著不为零，同时式(2)中滞后的y的系数估计

值在统计上整体的显著为零，则称x是引起y变化的原因。

(2)y是引起x变化的原因，即存在由y到x的单向因果关系。若式(2)中滞后

的y的系数估计值在统计上整体的显著不为零，同时式(1)中滞后的x的系数估计

值在统计上整体的显著为零，则称y是引起x变化的原因。

(3)x和y互为因果关系，即存在由x到y的单向因果关系，同时也存在由y到

x的单向因果关系。若式(1)中滞后的x的系数估计值在统计上整体的显著不为

零，同时式(2)中滞后的y的系数估计值在统计上整体的显著不为零，则称x和y

间存在反馈关系，或者双向因果关系。

(4)x和y是独立的，或x与y间不存在因果关系。若式(1)中滞后的x的系数

估计值在统计上整体的显著为零，同时式(2)中滞后的y的系数估计值在统计上整

体的显著为零，则称x和y间不存在因果关系。

三、格兰杰因果关系检验的步骤

(1)将当前的y对所有的滞后项y以及别的什么变量(如果有的话)做回归，即y

对y的滞后项y，y，…，y及其他变量的回归，但在这一回归中没有把滞后项x包括进t-1t-2t-q

来，这是一个受约束的回归。然后从此回归得到受约束的残差平方和RSS。 R

(2)做一个含有滞后项x的回归，即在前面的回归式中加进滞后项x，这是一个

无约束的回归，由此回归得到无约束的残差平方和RSS。 UR

(3)零假设是H:α=α=…=α=0，即滞后项x不属于此回归。 012q

strengthen the sense of responsibility, work to solve the lack of decent occupation explain away, conduct problems. To establish the

overall concept, eliminate departmentalism. Strict assessment and accountability, to solve the spiritual slack, nianqingpazhong, status quo, and other issues. To establish and perfect the muddle along Bureau staff conduct work regulations, standardize the behavior of personnel. 2.

To strengthen the responsibility system. One is the in-depth study and implement the "Hunan provincial Party and government leading cadres Interim Provisions on the work safety of a pair of > (Hunan Office issued 2013 No. 5)," Hunan province safety supervision and management responsibilities of the provisions on the production (Hunan Zhengban made 2013 No. 4) And resolutely implement the safety production of the party with responsibility, a pair of responsibility. "Two is issued safety production administration and inspection to promote the responsibilities bear safety production supervision departments strictly and effectively assumed responsibility. The three is to establish risk self correction self reporting system for safety in production enterprises, promote the enterprises to implement the main

responsibility for production safety is introduced. Four strengthen the county safety production supervision ability construction work, promote safe production responsibility to the grassroots. 3, strict accountability and target management. Adhere to the" who is in charge, who is responsible for the pipe industry must be safe, Guan Sheng production and operation must be safe, pipe business must control security "principle, the implementation of safety The production of "cure." stagnation supervision and leadership responsible system. The safety production of key towns, key enterprises and key problems, by the township government and the Department responsible for the stagnation led the lump sum, to tackle tough. To further increase the production safety index assessment, strictly implement the safety production of the

"one vote veto" and the reward system, strengthen the safety incentive and restraint mechanism. (six) the implementation of the work force is not strong. The documents, meeting, long work arrangement, check and supervise the implementation of small, poor implementation of the system, the work is not effective. Some leading cadres sense of purpose, consciousness of the masses is not strong, the ruling " For the people "," the interests of the masses no matter "concept understanding is not in place. The specific work treats with the deployment, a few leading cadres complain that work is too complicated, too much responsibility, the pressure is too large, too much emphasis on the difficulty of the work, such as underground mines to avoid the disaster of" six systems "construction and construction of mechanical ventilation to file the form, forwarding arrangements work, no in-depth mining enterprises to promote the specific work, the increase in the number of files, but the effect is not good, not according to the actual situation of non coal mines in the county, to engage in" across the board ", and the quality

(4)为了检验此假设，用F检验，即:

它遵循自由度为q和(n-k)的F分布。在这里，n是样本容量，q等于滞后项x

的个数，即有约束回归方程中待估参数的个数，k是无约束回归中待估参数的个

数。

(5)如果在选定的显著性水平α上计算的F值炒股临界Fα值，则拒绝零假

设，这样滞后x项就属于此回归，表明x是y的原因。

(6)同样，为了检验y是否是x的原因，可将变量y与x相互替换，重复步骤(1),(5)。

格兰杰因果关系检验对于滞后期长度的选择有时很敏感。其原因可能是被检验变量的平稳性的影响，或是样本容量的长度的影响。不同的滞后期可能会得到完全不同的检验结果。因此，一般而言，常进行不同滞后期长度的检验，以检验模型中随机干扰项不存在序列相关的滞后期长度来选取滞后期。

格兰杰检验的特点决定了它只能适用于时间序列数据模型的因果性检验，无法检验只有横截面数据时变量间的因果性。

可以看出，我们所使用的Granger因果检验与其最初的定义已经偏离甚远，削减了很多条件(并且由回归分析方法和F检验的使用我们可以知道还增强了若干条件)，这很可能会导致虚假的因果关系。因此，在使用这种方法时，务必检查前提条件，使其尽量能够满足。此外，统计方法并非万能的，评判一个对象，往往需要多种角度的观察。正所谓“兼听则明，偏听则暗”。诚然真相永远只有一个，但是也要靠科学的探索方法。 strengthen the sense of responsibility, work to solve the lack of decent occupation explain away, conduct problems. To establish the overall concept, eliminate departmentalism. Strict assessment and accountability, to solve the spiritual slack, nianqingpazhong, status quo, and other issues. To establish and perfect the muddle along Bureau staff conduct work regulations, standardize the behavior of personnel. 2. To strengthen the responsibility system. One is the in-depth study and implement the "Hunan provincial Party and government leading cadres Interim Provisions on the work safety of a pair of > (Hunan Office issued 2013 No. 5)," Hunan province safety supervision and management responsibilities of the provisions on the

production (Hunan Zhengban made 2013 No. 4) And resolutely implement the safety production of the party with responsibility, a pair of responsibility. "Two is issued safety production administration and inspection to promote the responsibilities bear safety production supervision departments strictly and effectively assumed responsibility. The three is to establish risk self correction self reporting system for safety in production enterprises, promote the enterprises to implement the main responsibility for production safety is introduced. Four strengthen the county safety production supervision ability construction work, promote safe production responsibility to the grassroots. 3,

strict accountability and target management. Adhere to the" who is in charge, who is responsible for the pipe industry must be safe, Guan Sheng production and operation must be safe, pipe business must control security "principle, the implementation of safety The production of "cure." stagnation supervision and leadership responsible system. The safety production of key towns, key enterprises and key problems, by the township government and the Department responsible for the stagnation

led the lump sum, to tackle tough. To further increase the production safety index assessment, strictly implement the safety production of the "one vote veto" and the reward system, strengthen the safety incentive and restraint mechanism. (six) the implementation of the work force is not strong. The documents, meeting, long work arrangement, check and supervise the implementation of small, poor implementation of the system, the work is not effective. Some leading cadres sense of purpose,

consciousness of the masses is not strong, the ruling " For the people "," the interests of the masses no matter "concept understanding is not in place. The specific work treats with the deployment, a few leading cadres complain that work is too complicated, too much responsibility, the pressure is too large, too much emphasis on the difficulty of the work, such as underground mines to avoid the disaster of" six systems "construction and construction of mechanical ventilation to file the form, forwarding arrangements work, no in-depth mining enterprises to promote the specific work, the increase in the number of files, but the effect is not good, not according to the actual situation of non coal mines in the county, to engage in" across the board ", and the quality 值得注意的是，格兰杰因果关系检验的结论只是统计意义上的因果性，而不一定是真正

的因果关系。虽然可以作为真正的因果关系的一种支持，但不能作为肯定或否定因果关系的

最终根据。当然，即使格兰杰因果关系不等于实际因果关系，也并不妨碍其参考价值。因为

统计意义上的因果关系也是有意义的，对于经济预测等仍然能起很大的作用。

由于假设检验的零假设是不存在因果关系，在该假设下F统计量服从F分布，因此严格

地说，该检验应该称为格兰杰非因果关系检验。

strengthen the sense of responsibility, work to solve the lack of decent occupation explain away, conduct problems. To establish the overall concept, eliminate departmentalism. Strict assessment and

accountability, to solve the spiritual slack, nianqingpazhong, status quo, and other issues. To establish and perfect the muddle along Bureau staff conduct work regulations, standardize the behavior of personnel. 2. To strengthen the responsibility system. One is the in-depth study and implement the "Hunan provincial Party and government leading cadres Interim Provisions on the work safety of a pair of > (Hunan Office

issued 2013 No. 5)," Hunan province safety supervision and management responsibilities of the provisions on the production (Hunan Zhengban made 2013 No. 4) And resolutely implement the safety production of the party with responsibility, a pair of responsibility. "Two is issued safety production administration and inspection to promote the responsibilities bear safety production supervision departments strictly and effectively assumed responsibility. The three is to establish risk self correction self reporting system for safety in production enterprises, promote the enterprises to implement the main

responsibility for production safety is introduced. Four strengthen the county safety production supervision ability construction work, promote safe production responsibility to the grassroots. 3, strict

accountability and target management. Adhere to the" who is in charge, who is responsible for the pipe industry must be safe, Guan Sheng production and operation must be safe, pipe business must control

security "principle, the implementation of safety The production of "cure." stagnation supervision and leadership responsible system. The safety production of key towns, key enterprises and key problems, by the

township government and the Department responsible for the stagnation

led the lump sum, to tackle tough. To further increase the production safety index assessment, strictly implement the safety production of the "one vote veto" and the reward system, strengthen the safety incentive and restraint mechanism. (six) the implementation of the work force is not strong. The documents, meeting, long work arrangement, check and supervise the implementation of small, poor implementation of the system, the work is not effective. Some leading cadres sense of purpose, consciousness of the masses is not strong, the ruling " For the people "," the interests of the masses no matter "concept understanding is not in place. The specific work treats with the deployment, a few leading cadres complain that work is too complicated, too much responsibility, the pressure is too large, too much emphasis on the difficulty of the work, such as underground mines to avoid the disaster of" six systems "construction and construction of mechanical ventilation to file the form, forwarding arrangements work, no in-depth mining enterprises to promote the specific work, the increase in the number of files, but the effect is not good, not according to the actual situation of non coal mines in the county, to engage in" across the board ", and the quality