xtgrangert: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data.
The easiest way to install the xtgranger package is by typing in Stata: "ssc install xtgrangert".
The published Stata Journal article can be found here:
https://journals.sagepub.com/doi/epub/10.1177/1536867X231162034