sample period Granger causality test

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iri
Posts: 1
Joined: Mon Jul 05, 2010 3:35 am

sample period Granger causality test

Postby iri » Mon Jul 05, 2010 3:48 am

Dear all,
can anyone help me in the folowing question: I would like to generate the Granger causality test for different subsamples (time periods) of my sample data. How can I define this without separating my time series in advance?
Thank you!
Irina
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startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: sample period Granger causality test

Postby startz » Mon Jul 05, 2010 1:39 pm

use the smpl statement to set the period you want to analyze
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