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Improved tests for Granger noncausality in panel data
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DOI：10.1177/1536867X231162034.png)
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摘要
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In this article, we introduce the xtgrangert command, which implements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93-112). This test offers superior size and power performance to existing tests, which stem from the use of a pooled estimator that has a faster vNT convergence rate. The test has several other useful properties: it can be used in multivariate systems; it has power against both homogeneous and heterogeneous alternatives; and it allows for cross-section dependence and cross-section heteroskedasticity.
Keyword:
st0706
xtgrangert
xtgrangert postestimation
panel data
Granger causality
Nickell bias
heterogeneous panels
half-panel jackknife
cross-section dependence
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2.4
论文数:
1.2K
被引数:
8.4K
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Testing for Granger non-causality in heterogeneous panels异质面板中格兰杰非因果关系的检验.png)
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