Author: Rashmi Sajwan

How to perform Granger causality test in STATA?

By Rashmi Sajwan & Priya Chetty on October 16, 2018 17 Comments

Applying Granger causality test in addition to cointegration test like Vector Autoregression (VAR) helps detect the direction of causality. It also helps to identify which variable acts as a determining factor for another variable. This article shows how to apply Granger causality test in STATA.

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