[R-SIG-Finance] Granger causality with panel data (econometrics related question)

mat matthieu.stigler at gmail.com
Thu Nov 4 09:37:22 CET 2010


Hi Harun

For Granger causality test, you might have a look on the section 3.4. 
Inference in the panel model
  from the plm vignette to see how to use coefficient tests on panel data.

Concerning unit roots, is the purtest() function from plm not the one 
you look for?

Hope this helps

Matthieu
Le 04. 11. 10 06:25, Harun Özkan a écrit :
> Hi folks,
>
> I am trying to perform a Granger causality analysis with panel data. 
> There are some packages around for panel data analysis alone and 
> Granger causality per se.
> However, I have found neither a package subsuming Granger causality 
> with panel data nor any R procedures, that could include 
> homogenous/heterogenous frameworks, related tests such as Wald, unit 
> root tests etc.
>
> Of course, someone must have encountered this problem before I did. 
> Does anyone know a quick solution to this case?
>
> Thanks in advance.
>
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