Hello,
I have a balanced sample of data over 2 years. I am trying to do a granger
causality test. I would like
1- to perform a Augmented Dickey-Fuller test for covariance stationarity
2- Control for fixed effects
As vargranger does not work with panel data, I have generated a lag variable
manually.
This test works fine :
regress roa roa_1 csp_1 if year==2005
But, how would I go about controlling for fixed effects with such a design?
Using the tsset command, the modified ADF test does not work :
. sort id year
. tsset id year
panel variable: id (strongly balanced)
time variable: year, 2004 to 2005
. madfuller csp, lags(1)
T must exceed N for sureg
invalid syntax
r(198);
How can I perform this test otherwise?
Any help would be appreciated.
Thank you,
Claude
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
