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
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
