该文介绍了如何利用STATA进行格兰杰因果检验，特别是针对面板数据。通过指定滞后阶数并包含其他条件变量，检验一个变量的滞后值是否有助于预测另一个变量。该检验基于向量自回归（VAR）模型，其核心是测试滞后项的系数是否为零。检验统计量遵循F分布或卡方分布，并提供了引用文献和作者信息。
Granger causality test
gcause var1 var2 [if exp] [in range] , lags(#) [ exog(varlist) regress
]
gcause is for use with time-series data. You must tsset your data before
using this commands; see help tsset.
Description
gcause performs a Granger causality test to investigate whether lagged values
of a variable, var2, help in forecasting another variable, var1. See Methods
& Formulas below.
Options
lags(#) is not optional. It specifies the number of lags of var1 and var2 to
include in the regression.
exog(varlist) for lack of a better name, specifies other conditioning
variables which may enter the regression. varlist may contain time-series
operators which is particularly useful to add other lagged variables to
the test regressions.
regress requests the display of the output from t
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