Am 23.03.2017 um 17:31 schrieb Giuseppe Vittucci: Not that I'm aware of (and I may be wrong and/or there may be a function package for it, although I don't think so), but what about the following workaround: For a Granger causality test from x on y you don't need to estimate a VAR, you only need the equation for y. So I would estimate the single equation for y with OLS, including the relevant lags, and then testing Granger causality with the "omit" command. Something like this: list causelags = lags(p, x) # p is the lag order list targetlags = lags(p, y) ols y const targetlags causelags omit causelags --test-only --silent yxteststat = $test yxpval = $pvalue Of course if you want to test in both directions, you have to do this workaround again for x on the LHS (possibly with a loop to avoid code duplication). hth, sven