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Cointegration and granger's causality test in Excel
- Thread starter TheMonk
- Start date
Excel doesn't have any built in functions that can do this an it is not included in the Analysis Tools.
It would be possible to do it but you're going to have a lot of formulae to write!
Have you considered using R to do this instead?
If you're not familiar with R it's free, open source software and it has a package (add on) designed to do this type of analysis.
http://cran.r-project.org/web/packages/egcm/egcm.pdf
It would be possible to do it but you're going to have a lot of formulae to write!
Have you considered using R to do this instead?
If you're not familiar with R it's free, open source software and it has a package (add on) designed to do this type of analysis.
http://cran.r-project.org/web/packages/egcm/egcm.pdf
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0
RickXL
MrExcel MVP
- Joined
- Sep 9, 2013
- Messages
- 4,328
Hi,
As far as I know. Excel cannot perform these functions as standard. However, I am sure that some add-ins will be available - probably for a cost. Try Googling.
The other problem might be that you do not have very much data so any conclusions you draw might not be valid.
Are your A and B series two segments of the same time series or are they two different sets of observations e.g. input and output? If you are interested in Granger Causality then I guess you are looking to see if one depends on the other?
If data is stationary then its mean, variance etc will remain constant over time. Those values can be calculated by Excel but I come back to the lack of data problem.
As far as I know. Excel cannot perform these functions as standard. However, I am sure that some add-ins will be available - probably for a cost. Try Googling.
The other problem might be that you do not have very much data so any conclusions you draw might not be valid.
Are your A and B series two segments of the same time series or are they two different sets of observations e.g. input and output? If you are interested in Granger Causality then I guess you are looking to see if one depends on the other?
If data is stationary then its mean, variance etc will remain constant over time. Those values can be calculated by Excel but I come back to the lack of data problem.
Upvote
0
