Hi everyone,

I wanted to know if someone would know how to implement a rolling window granger causality or a time-varying granger causality on Stata?

I searched for a long time on the internet and on the forums and I didn't find anything except an add-in named roll in in Eviews. I also found the command asreg on Stata but I don't think it applies to a granger causality test.

I would like to study a granger causality for different periods. If I do a simple granger causality month by month, it will take me a long time.

I have already done granger causality on the whole sample (with the code: vargranger) but I would like to do it on sub-samples.


NB: Asreg: https://www.statalist.org/forums/for...-rolling-betas

Thanks in advance if you know the answer.

Pita