XTPCAUS: Stata module to perform Panel Granger Causality Tests: Panel Fourier Toda-Yamamoto (PFTY) and Panel Quantile Causality (PQC)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtpcaus implements two panel Granger causality tests for strongly balanced panel data. The command tests whether indepvar Granger-causes depvar, with both individual-level and panel-level test statistics. For each test, bootstrap p-values account for cross-sectional dependence among panel units.

Language: Stata
Requires: Stata version 14
Keywords: panel data; Granger causality tests (search for similar items in EconPapers)
Date: 2026-03-07
Note: This module should be installed from within Stata by typing "ssc install xtpcaus". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtpcaus.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpcaus.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpcaus_pfty.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpcaus_pqc.ado program code (text/plain)

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