我只针对第一个问题补充一下：
楼上bear5333说的是对的，
目前Stata应当是使用资料堆叠的方式，尔后进行Granger causality test
这样的方法很早就有人提出…EViews早期也是这样做的。
国内或国外，已有不少篇的Panel Granger causality的文章，
但比较重要的是，必须视是属于哪一种panel模型而定，
这时不得不提到Hurlin这学者，我想Hurlin有不少篇都是采Matlab写的，
他也有EViews的编程，国内学者进行Panel Granger causality的有写信向Hurlin要程式，
目前 EViews 8 已有内建，我想这是比较进步的做法了！
有兴趣的可以上
http://www.eviews.com/EViews8/ev8ecdiag_n.html
看看
另外贴上EViews 8关于Panel Granger Test的简要叙述
Panel Causality Tests
EViews 8 extends the existing Granger Causality tests to perform panel data specific testing.
EViews 8 supports two of the simplest approaches to causality testing in panels. The first is to treat the panel data as one large stacked set of data, and then perform the Granger Causality test in the standard way, with the exception of not letting data from one cross-section enter the lagged values of data from the next cross-section. The second approach, the Dumitrescu-Hurlin (2012) approach, makes an extreme opposite assumption; it allows all coefficients to be different across cross-sections.
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