Economics at your fingertips  

GCAUSE: Stata module to perform Granger causality tests

Patrick Joly ()
Additional contact information
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". Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link) program code (text/plain) program code (text/plain) help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This software item can be ordered from

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().

Page updated 2015-08-24
Handle: RePEc:boc:bocode:s428201