Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: granger causality test for panel data

From   Cameron McIntosh <>
Subject   RE: st: granger causality test for panel data
Date   Wed, 21 Sep 2011 10:33:38 -0400


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.

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.
Moneta, A., Chlaß, N., Entner, D., & Hoyer, P. (2011). Causal Search in Structural Vector Autoregressive Models. JMLR: Workshop and Conference Proceedings, 12, 95–118.

Chen, P., & Hsiao, C.-Y. (2010). Looking behind Granger causality. MPRA Paper No. 24859.

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.

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).

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.

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.

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.

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.

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.


> Date: Wed, 21 Sep 2011 14:37:37 +0100
> Subject: Re: st: granger causality test for panel data
> From:
> To:
> See
> 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 <> wrote:
> > Hello,
> > Is there any way to test granger causality in the panel data?
> *
> *   For searches and help try:
> *
> *
> *
*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index