CAUSTESTS: Stata module to implement seven Granger causality tests for multivariate time series

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: caustests implements seven Granger causality tests for multivariate time series, unifying several important strands of the causality testing literature.

Language: Stata 14
Requires: Stata version
Keywords: time series; Granger causality (search for similar items in EconPapers)
Date: 2026-02-23
Note: This module should be installed from within Stata by typing "ssc install caustests". 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/c/caustests.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/caustests.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459608

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