Object Reference : Object View and Procedure Reference : Group
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.
group_name.cause(n, 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
Perform the Dumitrescu-Hurlin test.
General Options:
Force the dialog to appear from within a program.
Print output of the test.
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
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.
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.