Granger causality test.
Performs pairwise Granger causality tests between (all possible) pairs of the group of series. If performed on series in a panel workfile, you may optionally choose to perform the Dumitrescu-Hurlin (2012) version of the test.
Syntax
group_name.cause(n, options)
Options
You must specify the number of lags n to use for the test by providing an integer in parentheses after the keyword. Note that the regressors of the test equation are a constant and the specified lags of the pair of series under test.
Panel Options
dh | Perform the Dumitrescu-Hurlin test. |
General Options:
prompt | Force the dialog to appear from within a program. |
p | Print output of the test. |
Examples
To compute Granger causality tests of whether GDP Granger causes M1 and whether M1 Granger causes GDP, you may enter the commands:
group g1 gdp m1
g1.cause(4)
The regressors of each test are a constant and four lags of GDP and M1.
The commands:
group macro m1 gdp r
macro.cause(12, p, dh)
print the result of six pairwise Dumitrescu-Hurlin causality tests for the three series in the MACRO group in a panel workfile.
Cross-references
See
“Granger Causality” for a discussion of Granger’s approach to testing hypotheses about causality. See
“Panel Causality Testing” for discussion of testing in panel settings.