A Granger Causality test is a test of temporal precedence (or, more
accurately, non-precedence given the null). Formally, it is a test of
the joint significance of the forecasting power of lags of a second
variable when added to an autoregression of a first variable. It's
difficult to know what would be the cross-sectional analogue when such
data have no temporal ordering. Perhaps you could be more specific in
what kind of test you are seeking.
Hope that helps,
Mike
On Jul 27, 2009, at 6:33 PM, Christian Weiss wrote:
Dear Statalisters,
Do you know if there is any test comparable to the Granger Causality
Test which can be applied to Cross-Sectional (non-time-series) data?
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