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st: RE: Granger in panel data

From   "Muhlhausen, David" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: RE: Granger in panel data
Date   Mon, 5 Aug 2002 09:18:12 -0400

I don't think Stata has a specific command for a granger-causality test with
panel data.  You can do it through a series of stata commands.  It just
takes a little for work.  For a description of how to do a granger-causality
test with panel data, see Thomas B. Marvell and Carlisle E. Moody, 1996,
Specification Problems, Police Levels, and Crime Rates. Criminology 34, 4:

-----Original Message-----
From: [email protected] [mailto:[email protected]]
Sent: Monday, August 05, 2002 9:10 AM
To: [email protected]
Subject: st: Granger in panel data

Hi Stata users,

I pooled some observations as a panel to estimate the relationship
between variables X and Y, however I do not know how I can estimate the
granger procedure for panel data. Anybody could help me, please?


Paulo Loureiro
Universidade Cat´┐Żlica de Bras´┐Żlia

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