Re: Re: st: Granger with fixed effect - Panel data

[Claude Francoeur <claude.francoeur@hec.ca>]

I tried the levin-lin test. Unfortunately, I get an error message :

. sort id year

. tsset id year
       panel variable:  id (strongly balanced)
        time variable:  year, 2004 to 2005

. levinlin csp, lags(1)

Levin-Lin-Chu test for csp        Deterministics chosen: constant
Reducing Andrews truncation
no observations
r(2000);

. describe csp

              storage  display     value
variable name   type   format      label      variable label
-------------------------------------------------------------------------------
csp             float  %9.0g                  CSP

Do you have any idea what the problem could be?

Claude

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