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 Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Series data maintained by Christopher F Baum ().

Page updated 2017-11-10
Handle: RePEc:boc:bocode:s428201