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st: Re: causality test on panel data


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: causality test on panel data
Date   Mon, 7 Jun 2004 11:23:47 +0100

On Jun 5, 2004, at 7:33 AM, Sarah wrote:

Hi,

I am trying to run a causality test on panel data using granger command as
below:

granger x y,lag(2)

However, I receive an error message saying "repeated time values in sample".
Therefore, I had to collapse the data to achieve 1 observation for each
year. Is there any way that I can utilize my whole data to do causality
test?
Thanks,
Sarah
Please see my recent posts on the use of DW statistic in panel. This is the same problem. The granger[-sims] test is a time series regression. One can run it separately for each unit of the panel, but how should you combine the results? Average the test statistics over unit, like some panel unit root tests? To test for causality using an entire panel, you must have a statistic that is designed for panel data.

Kit

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