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Re: st: Granger Causality Test?


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Granger Causality Test?
Date   Tue, 28 Jul 2009 21:30:31 -0400

A Granger Causality test is a test of temporal precedence (or, more accurately, non-precedence given the null). Formally, it is a test of the joint significance of the forecasting power of lags of a second variable when added to an autoregression of a first variable. It's difficult to know what would be the cross-sectional analogue when such data have no temporal ordering. Perhaps you could be more specific in what kind of test you are seeking.

Hope that helps,
Mike


On Jul 27, 2009, at 6:33 PM, Christian Weiss wrote:

Dear Statalisters,

Do you know if there is any test comparable to the Granger Causality
Test which can be applied to Cross-Sectional (non-time-series) data?

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