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RE: st: granger causality test for panel data


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: granger causality test for panel data
Date   Wed, 21 Sep 2011 10:33:38 -0400

Ramesh,

You will also want to read up widely on Granger causality (and other approaches for causality detection in the longitudinal context) for your work -- a fair bit has been done since the 1969 classic, and you may find a particular angle that may not have been implemented in Stata, but serves your specific needs better:

Granger, C.W.J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.http://webber.physik.uni-freiburg.de/~jeti/studenten_seminar/stud_sem_SS_09/grangercausality.pdf

Granger, C.W.J. (1980). Testing for Causality. A personal Viewpoint. Journal of Economic Dynamic and Control, 2(4), 329-352. 

Granger, C.W.J. (1988). Some Recent Developments in a Concept of Causality. Journal of Econometrics, 39(1), 199-211.

Swanson, N.R., & Granger, C.W.J. (1997). Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. Journal of the American Statistical Association, 92, 357–367.

Shojaie, A., & Michailidis, G. (2010). Discovering graphical Granger causality using the truncating lasso penalty. Bioinformatics, 26(18), i517-i523.http://bioinformatics.oxfordjournals.org/content/26/18/i517.full.pdf+html
Moneta, A., Chlaß, N., Entner, D., & Hoyer, P. (2011). Causal Search in Structural Vector Autoregressive Models. JMLR: Workshop and Conference Proceedings, 12, 95–118.http://jmlr.csail.mit.edu/proceedings/papers/v12/moneta11/moneta11.pdf

Chen, P., & Hsiao, C.-Y. (2010). Looking behind Granger causality. MPRA Paper No. 24859.http://mpra.ub.uni-muenchen.de/24859/1/MPRA_paper_24859.pdf

White, H., Chalak, K., & Lu, X. (2011). Linking Granger Causality and the Pearl Causal Model with Settable Systems. Journal of Machine Learning Research Workshop and Conference Proceedings, 12, 1-29.http://jmlr.csail.mit.edu/proceedings/papers/v12/white11/white11.pdf

Zou, C., Ladroue, C., Guo, S., & Feng, J. (2010). Identifying interactions in the time and frequency domains in local and global networks - A Granger Causality Approach.  BMC Bioinformatics, 11(33).http://www.biomedcentral.com/content/pdf/1471-2105-11-337.pdf

Hlavácková-Schindler, K., Paluš, M., Vejmelka, M., & Bhattacharya, J. (2007). Causality detection based on information-theoretic approaches in time series analysis. Physics Reports, 441, 1–46.http://www.viskom.oeaw.ac.at/~joy/PR_2007.pdf

Haufe, S., Müller, K.-R., Nolte, G., & Krämer, N. (2010). Sparse Causal Discovery in Multivariate Time Series. JMLR Workshop and Conference Proceedings, 6, 97–106. NIPS 2008 workshop on causality.http://jmlr.csail.mit.edu/proceedings/papers/v6/haufe10a/haufe10a.pdf

Entner, D., & Hoyer, P.O. (2010). On causal discovery from time series data using FCI. Proceedings of the 5th European Workshop on Probabilistic Graphical Models (PGM), Helsinki, Finland. http://www.cs.helsinki.fi/u/entner/PGM2010.pdf

Mohammad, Y., & Nishida, T. (2010). Mining Causal Relationships in Multidimensional Time Series. Studies in Computational Intelligence, 260, 309-338.

Chu, T., & Glymour, C. (2008). Search for Additive Nonlinear Time Series Causal Models. Journal of Machine Learning Research, 9, 967-991. http://jmlr.csail.mit.edu/papers/volume9/chu08a/chu08a.pdf

Arnold, A., Liu, Y., & Abe, N. (2007). Temporal causal modeling with graphical granger methods. KDD '07 Proceedings of the 13th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining.New York, NY: ACM.

Cam

> Date: Wed, 21 Sep 2011 14:37:37 +0100
> Subject: Re: st: granger causality test for panel data
> From: njcoxstata@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> See http://www.stata.com/statalist/archive/2010-08/msg00814.html
> 
> For your dissertation, term paper, journal submission, or whatever,
> know that "Granger" is so spelled.
> 
> Nick
> 
> On Wed, Sep 21, 2011 at 2:28 PM, ramesh <ramesh.ghim@gmail.com> wrote:
> > Hello,
> > Is there any way to test granger causality in the panel data?
> *
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