/* Granger Causality Test
   For Pooled Models
*/

%let p=6 ;  /* Number of Lags */
%let xvar=XXXX ;  /* X variable */
%let yvar=YYYY ;  /* Y variable */
%let mydatevar=Date ;  /* Date Time Variable */
%let mygeo=_geocode ;  /* Cross Sectional variable from pooled structure */
%let mydata=testme;

data TESTME;
   input Date	_Geocode $	YYYY	XXXX;
   cards;
2001.3	AK	50.09325334	182341271
2001.4	AK	49.56427918	193858751
2002.1	AK	47.96972013	252930364
2002.2	AK	48.27256352	259933236
2002.3	AK	47.9876475	260391569
2002.4	AK	46.63006885	269793122
2003.1	AK	49.10161939	270472058
2003.2	AK	48.14979845	281454748
2003.3	AK	49.18590326	285458475
2003.4	AK	50.2279529	285146477
2004.1	AK	48.37198984	299360785
2004.2	AK	50.30122101	299541591
2004.3	AK	50.97692997	316826521
2004.4	AK	52.82040718	316928998
2005.1	AK	58.72145549	316592157
2005.2	AK	62.13414552	314822662
2005.3	AK	65.20070053	324339135
2005.4	AK	73.03698182	324666406
2006.1	AK	77.17355886	325474518
2006.2	AK	79.60707452	285071632
2006.3	AK	80.50160034	297513692
2006.4	AK	78.43378502	298449932
2007.1	AK	74.70538617	298956884
2007.2	AK	71.03104788	300861972
2007.3	AK	68.57872087	295458933
2007.4	AK	68.67583935	301811434
2008.1	AK	69.7353249	303376375
2008.2	AK	70.88001303	306169147
2008.3	AK	73.87626171	312472989
2008.4	AK	65.74611629	309228467
2009.1	AK	66.97910581	302283840
2009.2	AK	64.62275357	305251718
2009.3	AK	64.29682858	305288501
2009.4	AK	64.13395141	310362395
2010.1	AK	65.55675579	310729720
2010.2	AK	67.30791468	302203244
2010.3	AK	68.00282159	293597978
2010.4	AK	67.96478834	309876800
2011.1	AK	68.42516858	311834720
2011.2	AK	69.11401085	322549763
2011.3	AK	69.67939035	311265933
2001.3	FL	211.8460842	6044748534
2001.4	FL	216.0352213	6157867186
2002.1	FL	214.5424988	6535800159
2002.2	FL	205.8480251	6594695841
2002.3	FL	216.607646	6609789164
2002.4	FL	238.9658302	6660098865
2003.1	FL	209.8067476	6579505480
2003.2	FL	225.7600022	6488370106
2003.3	FL	232.8103391	6643635113
2003.4	FL	229.5164991	6726122477
2004.1	FL	223.7284911	6404710173
2004.2	FL	223.2408517	6999945595
2004.3	FL	239.8268525	7132440009
2004.4	FL	233.0269808	7117070795
2005.1	FL	268.6823472	7163144969
2005.2	FL	297.1841	7312305604
2005.3	FL	312.7557059	8191171331
2005.4	FL	337.385502	7709293855
2006.1	FL	364.0044691	7849382131
2006.2	FL	387.5523594	7540962249
2006.3	FL	382.0195193	7642250857
2006.4	FL	378.6157863	7594688023
2007.1	FL	358.1171809	7827382009
2007.2	FL	349.9926349	7890470437
2007.3	FL	293.6655599	7786826124
2007.4	FL	330.533036	7865848171
2008.1	FL	317.9486209	7786559727
2008.2	FL	316.1481094	7731771411
2008.3	FL	307.4190614	7852707618
2008.4	FL	294.7454991	7742857028
2009.1	FL	283.6746244	7586763428
2009.2	FL	278.7643324	7465795888
2009.3	FL	287.6506612	7523875420
2009.4	FL	281.6205674	7383836440
2010.1	FL	279.4016867	7281567054
2010.2	FL	289.4210269	6980977780
2010.3	FL	291.4306103	6861537408
2010.4	FL	298.4198114	7119724928
2011.1	FL	297.8633487	6970379102
2011.2	FL	305.0859037	7014111921
2011.3	FL	307.527312	6885671456
2001.3	GA	108.0957038	2843914417
2001.4	GA	111.1247888	2868374597
2002.1	GA	110.5516479	3031265955
2002.2	GA	121.1938872	3030671671
2002.3	GA	100.1433225	2972130522
2002.4	GA	113.1071424	3013074198
2003.1	GA	117.2539089	3005102075
2003.2	GA	118.4696386	2968854953
2003.3	GA	104.5180208	3007957561
2003.4	GA	112.6784157	3032688793
2004.1	GA	113.1585156	2815553704
2004.2	GA	115.9555775	3089825692
2004.3	GA	114.3586227	3142833204
2004.4	GA	117.3712523	3119860073
2005.1	GA	128.7419015	3092860978
2005.2	GA	128.7534777	3200081226
2005.3	GA	143.0709187	3329312056
2005.4	GA	145.9643703	3370945069
2006.1	GA	150.2745156	3411059212
2006.2	GA	147.1657284	3313125567
2006.3	GA	190.2812611	3339789375
2006.4	GA	144.4958633	3326456444
2007.1	GA	144.541939	3385415649
2007.2	GA	142.2673546	3463690029
2007.3	GA	131.044513	3457987696
2007.4	GA	132.2238998	3508901953
2008.1	GA	144.0502167	3455826717
2008.2	GA	137.3047553	3437074023
2008.3	GA	140.5231916	3546491274
2008.4	GA	146.7881425	3456713993
2009.1	GA	132.2299237	3381000908
2009.2	GA	132.8442591	3330564602
2009.3	GA	128.8337402	3281052091
2009.4	GA	127.3905324	3198123916
2010.1	GA	126.7069957	3129188392
2010.2	GA	132.9335423	3073262470
2010.3	GA	140.4225592	3014674504
2010.4	GA	133.5710126	3137446187
2011.1	GA	134.6475668	3066398279
2011.2	GA	139.3607607	3108527031
2011.3	GA	142.1481805	3066180423
;
run;


ods pdf file='c:\granger.pdf';
%macro granger;
 OPTIONS NOTES SOURCE SOURCE2 MPRINT MLOGIC MERROR SYMBOLGEN ;

data TEST;
 set &mydata;
run;

proc sort ;by &mygeo &mydatevar ;run;

/* removing data due to lag generation later */
data remove (keep=&mydatevar);
 set test;
run;
proc sort nodupkey ;by &mydatevar;
run;
data remove;
set remove;
Flag=1;
 if _n_>&p then delete;
run;

   data test;
     set test;
   %do i=1 %to &p;
      &yvar&i=lag&i(&yvar);
	  &xvar&i=lag&i(&xvar);
   %end;
   run;

proc sort data=test;by date;run;
data test;
 merge test(in=a) remove;
 by &mydatevar;
if a;
if flag=1 then delete;
run;

proc sort data=test;by &mygeo &mydatevar;run; 


   *   unrestricted model;
   proc autoreg data=test;
      model &yvar = &yvar.1-&yvar&p &xvar.1-&xvar&p;
      output out=out1 r=e1;   /* output residuals */
   run;


   *   restricted model;
   proc autoreg data=out1;
      model &yvar = &yvar.1-&yvar&p;
      output out=out2 r=e0;    /* output residuals */
   run;

data mydata;
 set out2;
P=&p;
T=_N_;
SE0=E0*E0;
SE1=E1*E1;
Retain SSE0 SSE1;
if _N_=1 then SSE0=0;
if _N_=1 then SSE1=0;
SSE0=SSE0+SE0;
SSE1=SSE1+SE1;
call symput ('SSE0',SSE0);
call symput ('SSE1',SSE1);
call symput ('T',T);
run;

data mydata2;
 set mydata;
      TEST1 = ((sse0 - sse1)/p)/(sse1/(T - 2*p - 1));
      P_VAL1 = 1 - probf(test1,p,T - 2*p - 1);

      * asymtotically equivalent test;
      TEST2 = (T * (sse0 - sse1))/sse1;
      P_VAL2 = 1 - probchi(test2,p);
Run;

data GRANGERRESULTS(keep=P T SSE0 SSE1 TEST1 TEST2 P_VAL1 P_VAL2);
 set mydata2;

 label P='Max # Lags'
       T='Observations'
	   SSE0='Sum of Squared Errors - Restricted'
	   SSE1='Sum of Squared Errors - Unrestricted'
	   TEST1='Granger F-Test Statistic'
	   TEST2='Granger Asymptotic Equivalency Test Statistic'
	   P_VAL1='Granger F-Test Probability'
	   P_VAL2='Granger Asymptotic Equivalency Test Probability'
	   ;
if _n_^=&T then delete;
run;
proc transpose data=GRANGERRESULTS out=GRANGERRESULTS;run;
proc print;
 format COL1 best12.;
run;
ods pdf close;
%mend granger;

%granger;