[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: Granger Causality Tests in Panel data sets
I had been looking for the same thing, and I can't find any.
But, there are program in GAUSS.
I think you can also do 2SLS panel. See paper by Holtz-Eakin et al
basically you first difference the data to get rid of the fixed
effect, and use the lag as instruments.
--- In firstname.lastname@example.org, "LACHENMAIER" <LACHENMAIER@i...>
> Hi all,
> I would need some help to perform Granger Causality tests with panel
> data. When browsing the Statalist archive I found some old entries
> 2002 on this topic. So I wonder if there now exist any do-Files or
> ado-Files? Thank you very much for your help,
> Stefan Lachenmaier
> * 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/
* For searches and help try: