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st: how to do granger causality test with panel data?


From   Frank Yu <fyu2@gsb.uchicago.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: how to do granger causality test with panel data?
Date   Mon, 15 Sep 2003 17:47:43 -0600

Dear friends,

I am struggling to find the right procedure to conduct granger causality test with a panel dataset.  The standard granger test in stata could not be used with panel data, after I use TSSET command.

I wonder if any of you had encounter the same problem and would like to share your solution.  Thank you very much.

Best,

Frank Yu



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