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GCAUSE: Stata module to perform Granger causality tests


  • Patrick Joly

    () (Industry Canada)


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.

Suggested Citation

  • Patrick Joly, 2002. "GCAUSE: Stata module to perform Granger causality tests," Statistical Software Components S428201, Boston College Department of Economics, revised 21 Apr 2010.
  • Handle: RePEc:boc:bocode:s428201
    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.

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    time series; causality; Granger; exogeneity;


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