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sasphd
Lapis Lazuli | Level 10

Hello, 

how I perform the granger causality test on panel data using Dumitrescu and Hurlin (2012) using SAS

I have panel data. 

Thanks

 

1 ACCEPTED SOLUTION

Accepted Solutions
sbxkoenk
SAS Super FREQ

Hello,

 

I moved this topic to the "SAS Forecasting and Econometrics" board.

 

This was the status end-of-2021 , and I believe it has not changed since then :

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 (it is designed for multivariate time series data that can be modelled with Vector ARIMA technique).
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. 

 

See also here :
Nobel Prize Winners and SAS Causal Econometrics Software
Started ‎01-14-2022 | Modified ‎01-14-2022 | Views 93
Authors: Xilong Chen and Udo Sglavo (SAS)
https://communities.sas.com/t5/Research-and-Science-from-SAS/Nobel-Prize-Winners-and-SAS-Causal-Econ...

 

Koen

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1 REPLY 1
sbxkoenk
SAS Super FREQ

Hello,

 

I moved this topic to the "SAS Forecasting and Econometrics" board.

 

This was the status end-of-2021 , and I believe it has not changed since then :

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 (it is designed for multivariate time series data that can be modelled with Vector ARIMA technique).
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. 

 

See also here :
Nobel Prize Winners and SAS Causal Econometrics Software
Started ‎01-14-2022 | Modified ‎01-14-2022 | Views 93
Authors: Xilong Chen and Udo Sglavo (SAS)
https://communities.sas.com/t5/Research-and-Science-from-SAS/Nobel-Prize-Winners-and-SAS-Causal-Econ...

 

Koen

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