GCAUSE: Stata module to perform Granger causality tests

Patrick Joly ()
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Patrick Joly: Industry Canada

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 7.0
Keywords: time series; causality; Granger; exogeneity (search for similar items in EconPapers)
Date: 2002-10-09, Revised 2010-04-21
Note: This module may be installed from within Stata by typing "ssc install gcause". 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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http://fmwww.bc.edu/repec/bocode/g/gcause.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/gcause2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/gcause.hlp help file (text/plain)

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