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st: RE: Granger in panel data


From   "Muhlhausen, David" <david.muhlhausen@heritage.org>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Granger in panel data
Date   Mon, 5 Aug 2002 09:18:12 -0400

I don't think Stata has a specific command for a granger-causality test with
panel data.  You can do it through a series of stata commands.  It just
takes a little for work.  For a description of how to do a granger-causality
test with panel data, see Thomas B. Marvell and Carlisle E. Moody, 1996,
Specification Problems, Police Levels, and Crime Rates. Criminology 34, 4:
600-645.

-----Original Message-----
From: paulor@pos.ucb.br [mailto:paulor@pos.ucb.br]
Sent: Monday, August 05, 2002 9:10 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Granger in panel data


Hi Stata users,

I pooled some observations as a panel to estimate the relationship
between variables X and Y, however I do not know how I can estimate the
granger procedure for panel data. Anybody could help me, please?


Thanks

Paulo Loureiro
Universidade Católica de Brasília


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