GCAUSE: Stata module to perform Granger causality tests
Abstractgcause performs a Granger causality test on time-series data to investigate whether lagged values of one variable help in forecasting another variable. This routine should be preferred to an earlier, problematic Granger-test routine which appeared in STB-51. Version gcause2 (CFBaum, Apr2010) allows the routine to be applied to a single unit of a panel using an if qualifier.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S428201.
Programming language: Stata
Requires: Stata version 7.0
Date of creation: 09 Oct 2002
Date of revision: 21 Apr 2010
Note: This module may be installed from within Stata by typing "ssc install gcause". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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