*Example 3: Granger causality tests
cal 1947 1 4
all 0 2006:4
open data gdp_data.prn
data(org=obs) 1947:1 2005:3 datex gdplev pricelev
open data fed_data.prn
data(org=obs) 1959:1 2005:3 date2 fedfunds M2
open data qtr_s&p500.prn
data(org=obs) 1950:1 2005:3 date3 stocks
set gdpch = 400*log(gdplev(t)/gdplev(t-1))
set inflation = 400*log(pricelev(t)/pricelev(t-1))
set mgrow = 400*log(M2(t)/M2(t-1))
set stockch = 400*log(stocks(t)/stocks(t-1))
smpl 1960:3 2005:3

linreg gdpch
# constant gdpch{1 to 4} inflation{1 to 4} fedfunds{1 to 4} mgrow{1 to 4}
exclude
# inflation{1 to 4}
exclude
# mgrow{1 to 4}
exclude
# fedfunds{1 to 4}


linreg gdpch
# constant gdpch{1 to 4} stockch{1 to 4}
exclude
# stockch{1 to 4}

linreg stockch
# constant gdpch{1 to 4} stockch{1 to 4}
exclude
# gdpch{1 to 4}

linreg inflation
# constant inflation{1 to 4} stockch{1 to 4}
exclude
# stockch{1 to 4}

linreg stockch
# constant inflation{1 to 4} stockch{1 to 4}
exclude
# inflation{1 to 4}

linreg fedfunds
# constant fedfunds{1 to 4} stockch{1 to 4}
exclude
# stockch{1 to 4}

linreg stockch
# constant fedfunds{1 to 4} stockch{1 to 4}
exclude
# fedfunds{1 to 4}

linreg stockch
# constant mgrow{1 to 4} stockch{1 to 4}
exclude
# mgrow{1 to 4}

linreg mgrow
# constant mgrow{1 to 4} stockch{1 to 4}
exclude
# stockch{1 to 4}