Hi everyone,

I am encountering a few problems when I tried to run var codes to be followed by a Granger test. I am using Stata 14.

My dataset is a list of 70 countries and 20 quarters (approx 1400 observations). The panel is balanced. I am investigating whether certain variables such as newspaper articles influence the number of ICOs in a given quarter/country. Hence the DV goes from 0 (many zeroes) to 77 with average of 0.68. To establish causality I would like to run a Granger causality test.

I tried running a few models but I always get errors. var (see below) but I get "repeated time values in sample".

Code:
var NumberofICOperquarter  LNNumberofnews, lags(1/2)
repeated time values in sample
r(451);
I guess this is because var does not work with a panel. So I have tried using the pvar but I also receive an error.
Code:
pvar NumberofICOperquarter  LNNumberofnews
derivative already defined for parameter NumberofICOperquarter___0 in equation 1
r(498);
Therefore, I have found another test, xtgcause, but I get an empty outcome:
Code:
xtgcause NumberofICOperquarter  LNNumberofnews
Dumitrescu & Hurlin (2012) Granger non-causality test results:

Lag order: 1
W-bar = .
Z-bar = . (p-value = .)
Z-bar tilde = . (p-value = .)

H0: LNNumberofnews does not Granger-cause NumberofICOperquarter.
H1: LNNumberofnews does Granger-cause NumberofICOperquarter for at least one panelvar (CountryID).

The only model that works is XTVAR and it works fine but this is not compatible with a Granger causality test (?).

Hence, my questions are two:
- is there a way to fix the above errors such as the one I get with pvar?
- is there another way to run a Granger causality test considering the above?

Thank you in advance,

Cristiano