*
* Example UKUSIND.DAT from pp 470-471
*
open data ukusind.dat
calendar(m) 1970
data(format=free,org=columns) 1970:1 1992:7 date usind ukind
*
set logus = log(usind)
set loguk = log(ukind)
*
* Granger causality test. Run the regression on lags of both variables; test the
* lags of the logus variables.
*
linreg loguk
# constant loguk{1 to 4} logus{1 to 4}
exclude
# logus{1 to 4}