Hello together,
I would like to perform the Granger Test with my panel data. I am investigating 40 banks and examining the impact of digitization on ROA.
Specifically, I have the variable digitization and ROA for 40 banks and 6 years each.
How can I run the test in GRETL, STATA or EVIEWS?
Depends on the software you are using - R, E-views or Stata. E-views has specific guidelines which are very easy to follow with examples.
You can try these steps. Step 1: Testing for the Order of Integration. Panel unit root used (e.g. Maddala and Wu 1999),
Step 2: Testing for possible Cointegration. Pedroni test for cointegration used among variables.
Step 3: Estimating long run parameters (If Cointegration is found in Step 2). Long Parameters using DOLS method.
Step 4: Examining the causal direction a panel vector error correction model Pesaran et al. (1999) will be estimated. The Engle-Granger (1987) two-step procedure will be used.
Hope these steps help.
You can watch video tutorials, which are available in youtube, specially in Hossain academicy channel.
Dear Elfan,
thank you very much. I was able to rebuild the examples. Based on the examples, I am able to do the "Granger test" with my own data.
Dear Bokhitar,
I had a look to Hossain academicy channel (e.g. Granger Causality Test. Model One.Part 1 of 2. EVIEWS). The tutoralias are very helpful.
Thank you !!
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