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st: Granger with fixed effect - Panel data


From   Claude Francoeur <claude.francoeur@hec.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: Granger with fixed effect - Panel data
Date   Fri, 02 May 2008 10:13:41 -0400

Hello,

I have a balanced sample of data over 2 years. I am trying to do a granger 
causality test. I would like

1- to perform a Augmented Dickey-Fuller test for covariance stationarity

2- Control for fixed effects

As vargranger does not work with panel data, I have generated a lag variable 
manually.

This test works fine :

regress roa roa_1 csp_1 if year==2005

But, how would I go about controlling for fixed effects with such a design?


Using the tsset command, the modified ADF test does not work :

. sort id year
. tsset id year
       panel variable:  id (strongly balanced)
        time variable:  year, 2004 to 2005

. madfuller csp, lags(1)
T must exceed N for sureg
invalid syntax
r(198);

How can I perform this test otherwise?

Any help would be appreciated.

Thank you,

Claude

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