GCAUSE: Stata module to perform Granger causality tests
gcause 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.
|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/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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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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