Granger Causality Test on panel data

[Khaladdin]

Hi all, 

Is there a way of estimating Granger causality on panel data? There are some open questions in the community; however, no one has answered yet. 

[SASCom1]

Hi @Khaladdin ,

We currently do not have a procedure that provides the functionality to perform any panel data granger causality test. PROC VARMAX provides granger causality test but it is not designed for panel data. PROC PANEL in SAS/ETS and PROC CPANEL in SAS Econometrics are designed for panel data but they do not currently support granger causality test at this time. We have open suggestions to implement this functionality in PROC PANEL/PROC CPANEL in the future, but at this time no information is available yet when such functionality will become available. 

[Khaladdin]

Many thanks!