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Re: st: Granger with fixed effect - Panel data


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Granger with fixed effect - Panel data
Date   Fri, 2 May 2008 11:41:46 -0300

Claude,

levinlin is more appropriate with small T panels and large N, that is your case.

See madfuller help and levinlin help!

Best,

Joao Ricardo Lima

2008/5/2 Claude Francoeur <claude.francoeur@hec.ca>:
> 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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-- 
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------
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