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finance_physics
finance_physics
Level I

Granger Causality

Jan 26, 2010 01:33 PM (5573 views)
Does anyone have any experience using JMP to test Granger Causality? I have yet to use this methodology, but I would like to use JMP to get acquainted. Any help (either reference to online materials or implementation advice) is appreciated. Thanks.
2 REPLIES 2
louv
Staff (Retired) louv
Staff (Retired)

Re: Granger Causality

Jan 29, 2010 08:54 PM (5407 views)  |  Posted in reply to message from finance_physics 01-26-2010
If you do a google search on Granger Causality and JMP the first hit I obtained was a paper by Archie Case and Joseph Earley "A Journey to Ellis Island Profiling Historical Immigration Using SAS and JMP Time Series Methods"
Hope this helps.
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algil
algil
Level I

Granger Causality

Nov 28, 2011 12:22 PM (5407 views)  |  Posted in reply to message from finance_physics 01-26-2010

Hello, did you finally knew how to implement the causality test on JMP?, I'mlooking for a way to test it too, but unfortunately I don't know how to applythe procedure mentioned at Case and Earley (actually there is no procedure atall, only the statistic test made, how they did it?).

Thanks

Alvaro

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