/* Granger Causality Test
   For Pooled Models
*/

%let p=4 ;  /* Number of Lags */
%let yvar=YYYY ;  /* Y variable */
%let mydatevar=Date ;  /* Date Time Variable */
%let mygeo=_geocode ;  /* Cross Sectional variable from pooled structure */
%let mydata=MYDATA;

data MYDATA;
   input Date	_Geocode $	YYYY	Varone	Vartwo	Varthree	Varfour	VarFive;
   cards;
2001.3	AK	50.093	182341271	154279108.3	29745203.78	25106216.28	17928109.9
2001.4	AK	49.564	193858751	63269392.28	40472021.26	38825337.17	28047859.09
2002.1	AK	47.97	252930364	102275665.2	29138457.49	15350931.89	3918773.069
2002.2	AK	48.273	259933236	45980310.35	3791571.875	1982056.495	1737048.583
2002.3	AK	47.988	260391569	142925355.5	9901907.783	4150850.764	4028130.642
2002.4	AK	46.63	269793122	41897796.82	144852.9369	47703.38799	24004.33274
2003.1	AK	49.102	270472058	169327829.4	133093305.6	31616478.87	594283.8549
2003.2	AK	48.15	281454748	67956093.29	38697025.94	25280075.15	9163809.417
2003.3	AK	49.186	285458475	103331649.9	8061116.268	89954.46046	34482.37129
2003.4	AK	50.228	285146477	69083878.35	43465495.84	3610131.886	1051195.654
2004.1	AK	48.372	299360785	156301279.2	20812036.31	9994373.595	3539073.934
2004.2	AK	50.301	299541591	58273181.78	42262129.74	41848081.03	40379011.09
2004.3	AK	50.977	316826521	201298640	130234467	53090250.54	49950385.43
2004.4	AK	52.82	316928998	247149029.2	140360613.4	95255260.98	46291087.89
2005.1	AK	58.721	316592157	281927335	74024776.01	26033826.42	598951.226
2005.2	AK	62.134	314822662	16872151.62	13519967.39	10210535.75	9780010.209
2005.3	AK	65.201	324339135	114154055.1	58112959.74	24058425.78	5565011.202
2005.4	AK	73.037	324666406	35681840.77	27993880.64	26444495.38	14726393.68
2006.1	AK	77.174	325474518	48317359.74	40861537.3	26559994.93	16382503.6
2006.2	AK	79.607	285071632	8086754.762	7678161.549	403749.2049	277987.0301
2006.3	AK	80.502	297513692	214013672.6	92549687.72	74252523.9	43618489.16
2006.4	AK	78.434	298449932	140263641	33268706.27	7805907.93	3820785.891
2007.1	AK	74.705	298956884	41192941.23	11803986.9	1881990.345	13074.47213
2007.2	AK	71.031	300861972	173205553.4	106998053.8	53863922.93	34409808.12
2007.3	AK	68.579	295458933	243430116.8	154741496.8	110494098.3	102107472.6
2007.4	AK	68.676	301811434	228333011	95912466.17	40077570.16	10503478.19
2008.1	AK	69.735	303376375	60110242.16	49002553.39	26879647.28	13870448.42
2008.2	AK	70.88	306169147	212761334.3	189827463.7	100321266.7	89340615.31
2008.3	AK	73.876	312472989	282219706.2	90140727.84	84470014.42	12118019.14
2008.4	AK	65.746	309228467	71221772.43	35552956.58	1615240.699	1540654.772
2009.1	AK	66.979	302283840	3546586.074	1482201.638	77141.08363	37767.28412
2009.2	AK	64.623	305251718	102237199.1	11670093.31	2573736.501	76910.08603
2009.3	AK	64.297	305288501	168684331	75307740.56	23330370.56	10185335.02
2009.4	AK	64.134	310362395	10960638.41	6354020.504	4988031.121	1022311.39
2010.1	AK	65.557	310729720	75283931.7	14232591.32	603761.9986	458595.8909
2010.2	AK	67.308	302203244	245842194	20213075.25	2011033.251	1842088.461
2010.3	AK	68.003	293597978	265548731	247350828.4	81790130.71	77792179.44
2010.4	AK	67.965	309876800	134768482.2	130399102.4	23130018.37	9092129.95
2011.1	AK	68.425	311834720	228970745.4	28657170.89	2063723.896	723729.1886
2011.2	AK	69.114	322549763	182754925.2	18787053.16	8212588.195	7297365.704
2011.3	AK	69.679	311265933	138490270.8	28824422.04	19027939.82	14045498.18
2001.3	FL	211.846	6044748534	3794942826	308907032.4	161156066.4	85910406.62
2001.4	FL	216.035	6157867186	180872137.3	8501055.949	8444662.289	3362283.531
2002.1	FL	214.542	6535800159	266084977.2	125866769.4	26852130.39	10046855.27
2002.2	FL	205.848	6594695841	5111731899	1144298971	367414970.6	98406694.7
2002.3	FL	216.608	6609789164	792313601.8	56349243.64	9626126.859	6330248.679
2002.4	FL	238.966	6660098865	2879250693	1894401159	994534396.3	406785559.8
2003.1	FL	209.807	6579505480	2292698267	310878.6053	234210.5335	223143.0314
2003.2	FL	225.76	6488370106	2987843027	1432689798	389288623.8	157867891.6
2003.3	FL	232.81	6643635113	4955779298	1683574243	1079142925	634992957.8
2003.4	FL	229.516	6726122477	4118503725	2611648558	2334076650	1355777886
2004.1	FL	223.728	6404710173	2775921975	2151964563	1576109827	1257495386
2004.2	FL	223.241	6999945595	5113674117	115305871.7	13049996.77	10434708.11
2004.3	FL	239.827	7132440009	314725910.7	242836386.2	152329835.2	149593880.2
2004.4	FL	233.027	7117070795	4068165031	2173190585	1185663704	333601061.8
2005.1	FL	268.682	7163144969	4324912982	3630456980	1218167404	917982697.9
2005.2	FL	297.184	7312305604	1583888746	1181283505	513316051.2	203506921
2005.3	FL	312.756	8191171331	3898391680	2394032945	519297114.4	256518233.7
2005.4	FL	337.386	7709293855	6644353888	3789023495	1088839592	1061952347
2006.1	FL	364.004	7849382131	2252389210	2155109990	1887935281	1633810132
2006.2	FL	387.552	7540962249	3848860955	839628599.6	62101189.74	8550764.339
2006.3	FL	382.02	7642250857	1960225909	1528976296	881758550.6	309211054
2006.4	FL	378.616	7594688023	3446765139	1182761527	424048686.8	266214682
2007.1	FL	358.117	7827382009	1205592172	533172135.9	9931336.224	56653.63447
2007.2	FL	349.993	7890470437	6392808087	3018472746	891738571.4	857540290.2
2007.3	FL	293.666	7786826124	572304590.4	238522233.8	69466021.21	53782282.61
2007.4	FL	330.533	7865848171	6094864080	3566385484	2430595745	1046148889
2008.1	FL	317.949	7786559727	1718096974	1312180612	472729307.7	378764930.5
2008.2	FL	316.148	7731771411	2041214703	305451366.4	209147825.8	9815033.812
2008.3	FL	307.419	7852707618	4581329678	2782203470	2261101487	1962415782
2008.4	FL	294.745	7742857028	7237584031	7051193533	5523211995	4848846712
2009.1	FL	283.675	7586763428	6981242941	806701522.9	87415056.31	16016219.61
2009.2	FL	278.764	7465795888	5984337092	3564036947	2942446035	138363223.5
2009.3	FL	287.651	7523875420	3179166365	3177701644	2531312103	299919582.4
2009.4	FL	281.621	7383836440	6856047522	1908688907	796015662.2	526432817.5
2010.1	FL	279.402	7281567054	2220844512	572680485	396515219	59247027.27
2010.2	FL	289.421	6980977780	1191317239	310243477.7	170514992.7	78965909.95
2010.3	FL	291.431	6861537408	5214583301	262420030.5	106511969.8	103483752.8
2010.4	FL	298.42	7119724928	5324425299	2077545469	217125422.2	208216405.2
2011.1	FL	297.863	6970379102	167361811.1	144352786.5	103027429.5	75900092.92
2011.2	FL	305.086	7014111921	981899844.7	636781456.4	180641806.5	114698288.6
2011.3	FL	307.527	6885671456	5438069449	2701347354	2368227906	982687703.6
2001.3	GA	108.096	2843914417	2345148926	1196176911	243645435.9	157457052.3
2001.4	GA	111.125	2868374597	240435388.8	113088828.9	35736655.47	5271258.582
2002.1	GA	110.552	3031265955	928394997.8	569860371.7	40213838.01	24102608.08
2002.2	GA	121.194	3030671671	1731060317	237807701.9	100848127.2	55346040.99
2002.3	GA	100.143	2972130522	885777353	577636231.4	12507512.18	7882485.48
2002.4	GA	113.107	3013074198	2816886978	1525800267	589722806.6	83072347.27
2003.1	GA	117.254	3005102075	1346982036	837239852	681861790.3	363604325.1
2003.2	GA	118.47	2968854953	548661076.4	300680083.6	116676893.1	107111845.4
2003.3	GA	104.518	3007957561	1427325135	557077417.6	543209681.6	382649535.6
2003.4	GA	112.678	3032688793	1629173174	1577222726	883021640	193571443.1
2004.1	GA	113.159	2815553704	734823527.9	45190004.07	4053949.971	3279828.437
2004.2	GA	115.956	3089825692	2239145532	1614732998	1167335496	1122537576
2004.3	GA	114.359	3142833204	2807357848	2711995343	2068082362	1694813037
2004.4	GA	117.371	3119860073	746702375.9	579915843.5	561479690.8	36418287.95
2005.1	GA	128.742	3092860978	1582841395	835628900.9	529038705.7	376338451.7
2005.2	GA	128.753	3200081226	810534423.8	702150555.3	521293455.7	58004686.22
2005.3	GA	143.071	3329312056	1744906460	1257811653	1257592091	510178038.1
2005.4	GA	145.964	3370945069	2481049696	1720003195	509919622.3	292966081.6
2006.1	GA	150.275	3411059212	476591899.8	332703869.6	17961293.89	915153.1044
2006.2	GA	147.166	3313125567	1745873599	421472537.6	357732465.5	220529572.2
2006.3	GA	190.281	3339789375	2468902616	2270927807	2174814378	1133540788
2006.4	GA	144.496	3326456444	2930534161	2170367648	1975657412	425145491.8
2007.1	GA	144.542	3385415649	812093590	657089615.6	320929285.5	119363268.6
2007.2	GA	142.267	3463690029	995751949.6	711623713.6	282405327.3	64727159.59
2007.3	GA	131.045	3457987696	2104126833	443722640.4	346775577.4	231123808.6
2007.4	GA	132.224	3508901953	189730036.3	18570589.5	7295128.942	5902533.516
2008.1	GA	144.05	3455826717	1624301123	1527576825	394306382.6	141432525.2
2008.2	GA	137.305	3437074023	1936371068	912046982.4	403101359.8	152880286.7
2008.3	GA	140.523	3546491274	2864195730	569926261	235914211.8	205963917.4
2008.4	GA	146.788	3456713993	1597096588	952579203.8	437965533.2	163996800.8
2009.1	GA	132.23	3381000908	1648789514	216950013.1	142103044.1	45052282.85
2009.2	GA	132.844	3330564602	3295045221	1123544440	103056759.6	28406227.99
2009.3	GA	128.834	3281052091	2855728646	1894408217	431930274.4	188059642.2
2009.4	GA	127.391	3198123916	672986381.3	471483562.5	273980172.2	61602111.52
2010.1	GA	126.707	3129188392	2129748817	1438408356	512654065.6	35801508.73
2010.2	GA	132.934	3073262470	2222302179	1369323173	948078971.1	443111491.1
2010.3	GA	140.423	3014674504	1898700002	1201357400	1051115117	1021995880
2010.4	GA	133.571	3137446187	3028890125	1952630604	617939791.3	421995939.3
2011.1	GA	134.648	3066398279	1048481884	156070742.6	154342404.5	51772221.68
2011.2	GA	139.361	3108527031	1346617496	648556424.6	599081174.5	255240329.8
2011.3	GA	142.148	3066180423	934945266.1	671696185.3	15898505.67	2515769.376
;
run;

/* list out all the Xvariables you wish to test as leading 
indicators */
data TESTVARS;
length MYVARS $30.;
   input MYVARS $;
   cards;
Varone
Vartwo
Varthree
Varfour
;
run;


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

data _null_;
 set testvars end=last;
 if last then call symput('nfiles',_n_);
run;
data TEST;
 set &mydata;
run;
proc sort ;by &mygeo &mydatevar ;run;

data remove (keep=&mydatevar);
 set test;
run;
proc sort nodupkey ;by &mydatevar;run;
data remove;set remove; if _n_>&p then delete;flag=1;run;

%do k=1 %to &nfiles;
data _null_;
 set testvars;
 if &k=_n_ then call symput('myvalue',trim(left(myvars)));
run;

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

/* removing data due to lag generation  */

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

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

%do k=1 %to &nfiles;
data _null_;
 set testvars;
 if &k=_n_ then call symput('myvalue',trim(left(myvars)));
run;

   proc autoreg data=test;
      model &yvar = &yvar.1-&yvar&p &myvalue.1-&myvalue&p;
      output out=out1 r=e1;   
   run;


   proc autoreg data=out1;
      model &yvar = &yvar.1-&yvar&p;
      output out=out2 r=e0;   
   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;
data grangerresults;
 set grangerresults;
rename COL1=%upcase(&myvalue);
run;
proc print;
 format &myvalue best12.;
run;

%if &k=1 %then %do;
data Results_Summary;
 set grangerresults;
run;
%end;

%if &k>1 %then %do;
data Results_summary;
 merge Results_summary grangerresults;
run;

%end;



%end;
ods pdf close;
%mend granger;

%granger;