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st: GCAUSE available on SSC

Subject   st: GCAUSE available on SSC
Date   Thu, 10 Oct 2002 09:56:59 -0400

-gcause-, a module to perform Granger causality tests, is now available on
SSC.  An abstract follows.

Users are advised to use -gcause- rather than the -granger- package from
STB51[sts14] as the latter contains numerous errors in both its syntax and
formulas. Users of the -granger- package might not notice the
inconsistencies in the test statistics since the program will not
necessarily fail to execute.  An attempt was made to contact the author of
granger.ado, J.Sky David, to suggest amendments to the original code.  These
attempts were not successful.

Thanks to Kit Baum for placing this module on the archive and to Carol Miu
for suggesting an enhancement to the code.  Thank you also to Nick Cox for
inquiring to Prof. Joe Newton about the status of J.S. David's affiliation
with the Texas A&M political science dept.

      'GCAUSE': module to perform Granger causality tests

      gcause performs a Granger causality test on time-series data to
      investigate whether lagged values of one variable help in
      forecasting another variable. This routine should be preferred to
      an earlier, problematic Granger-test routine which appeared in
      Distribution-Date: 20021009
      Author: Patrick Joly, Industry Canada
      Support: email

INSTALLATION FILES                               (type net install gcause)

Patrick Joly
Industrial Analysis Centre, 730E

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