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XTPCAUS: Stata module to perform Panel Granger Causality Tests: Panel Fourier Toda-Yamamoto (PFTY) and Panel Quantile Causality (PQC)

Author

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  • Merwan Roudane

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Abstract

xtpcaus implements two panel Granger causality tests for strongly balanced panel data. The command tests whether indepvar Granger-causes depvar, with both individual-level and panel-level test statistics. For each test, bootstrap p-values account for cross-sectional dependence among panel units.

Suggested Citation

  • Merwan Roudane, 2026. "XTPCAUS: Stata module to perform Panel Granger Causality Tests: Panel Fourier Toda-Yamamoto (PFTY) and Panel Quantile Causality (PQC)," Statistical Software Components S459629, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459629
    Note: This module should be installed from within Stata by typing "ssc install xtpcaus". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcaus.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcaus.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpcaus_pfty.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpcaus_pqc.ado
    File Function: program code
    Download Restriction: no
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