PANELCAUSE.RPF—Granger causality in panel data

[TomDoan]

PANELCAUSE.RPF is an example of a test for (Granger) causality in a panel data set allowing for heterogeneity in the coefficients and variances.

Detailed description

panelmoney.xls

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[Ozmando]

PANELCAUSE.RPF does a test for Granger causality in a heterogeneous panel.

Detailed description

panelmoney.xls

Hi,

Is this test applicable if one want to check for long run causality? please?
Thanks,
oz

[TomDoan]

No. Long-run causality is a test just on the loadings in a VECM. This is a test on all lags in a VAR.