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Wald Test or Granger Causalityin Panel Data

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Contributor
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Wald Test or Granger Causalityin Panel Data

Hello, i have to to do Granger Causality Test. I have panel data. I tried to do the Granger Causality with proc varmax , but this procedure takes into consideration only time series. I didn't find  any proc that  knows to do Granger Causality on panel data. Can somebody help me? Maybe to run proc panel and then calculate Wald statistic? 

Thank you

Super User
Posts: 9,681

Re: Wald Test or Granger Causalityin Panel Data

Plz post it at Forecast forum, since it is about time series analysis .

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