Re: [Gretl-users] Granger Causality test in Gretl
On Wed, 17 Oct 2012, 佃鹏 于 wrote:
Sorry to bother you. I am a student from University of Glasgow UK.
For my dissertation purpose I need to run Granger Causality tests
using Gretl. I am using panel data, "time series" function didn't
work? Would you mind giving me some advice on the following
questions:
Is the Granger Causality test for autoregression?
The Granger test is not "for" autoregression, but it is conducted in
the framework of a vector autoregression (VAR).
How to run Granger Causality in Gretl using panel data? Do I need
to change my data structure to time series in order to finish the
Granger causality test of variables.
The theory of Granger causality is well developed for the time
series case. For panel data it is more complicated; for one thing
you'd have to decide if the causality result is supposed to be in
common ("homogeneous") across your panel units, or not. If you
google "Granger causality panel data" you'll find discussions of
this.
In gretl, Granger causality tests are provided among the results
when estimating a VAR, but the "var" command is not available for
panel data, only time series. I think this is true of most
econometric software. Gretl scripting has the flexibility to allow
you to construct a related test for panel data, if you can figure
out exactly what it is you want to test.
Allin Cottrell