I had been looking for the same thing, and I can't find any.
But, there are program in GAUSS.
I think you can also do 2SLS panel. See paper by Holtz-Eakin et al
basically you first difference the data to get rid of the fixed
effect, and use the lag as instruments.
--- In [email protected], "LACHENMAIER" <LACHENMAIER@i...>
wrote:
> Hi all,
>
> I would need some help to perform Granger Causality tests with panel
> data. When browsing the Statalist archive I found some old entries
from
> 2002 on this topic. So I wonder if there now exist any do-Files or
> ado-Files? Thank you very much for your help,
>
> Best
>
> Stefan Lachenmaier
>
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