*!  version 1.1  27 Sep 1999                        [STB-51: sts14]

program define granger, rclass
	version 6.0
	syntax varlist(ts) [if] [in] [, Lags(int -1) ]
	marksample touse
	_ts tvar, sort
	markout `touse' `tvar'
	local samp "if `touse'==1"
	local lower = `lags'
	local upper =  _N - (2*`lower') - 1


	if `lags' <= 0 | `lags' > 10 {
		noi di in red "Must select lag length between 1 and 10"
		exit 198
	}
	else {
		qui reg `1' L(1/`lower').`1' L(1/`lower').`2'
		tempname rss1
		scalar `rss1' = e(rss)
		qui reg `1' L(1/`lags').`1' 
		tempname rss0 s1 fprobs1
		scalar `rss0' = e(rss)
		scalar `s1' = [(`rss0'-`rss1')/3] / [`rss1' / ( _N - (2*`lower') - 1)]
		scalar `fprobs1' = fprob(`lower',`upper',`s1')
		display in gr "Granger Causality test (asymptotic)" in ye "  `1'  " in gr "  --->  " in ye "  `2'  "
		display in bl " H0: " in ye " `1' " in bl " does not Granger-cause " in ye " `2' " 
		display in gr "F(   `lower',   `upper')  =  "  in ye `s1'
		display in gr "Prob  >  F  =   "  %5.4g in ye `fprobs1'
		tempname s2 s2pval x210 x205 x201 x2001
		scalar `s2' = [ _N * (`rss0'-`rss1')] / `rss1'
		display in gr "Granger Causality test"
		display in bl " H0: " in ye " `1' " in bl " does not Granger-cause " in ye " `2' " 
		display in gr "chi2(" in ye "`lower'" in gr ")  =  " in ye `s2'
		scalar  `s2pval' = chiprob(`lower', `s2')
		display in gr "Prob  > chi2   =   "  %5.4f in ye `s2pval'

		}

end