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Testing for Granger causality in heterogeneous mixed panels

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  • Emirmahmutoglu, Furkan
  • Kose, Nezir

Abstract

In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 3 (May)
Pages: 870-876

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:3:p:870-876

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Granger causality Meta analysis Mixed panels Cross-sectional dependency;

References

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  17. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
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Citations

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Cited by:
  1. Cowan, Wendy N. & Chang, Tsangyao & Inglesi-Lotz, Roula & Gupta, Rangan, 2014. "The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries," Energy Policy, Elsevier, vol. 66(C), pages 359-368.
  2. Xie, Zixiong & Chen, Shyh-Wei, 2014. "Untangling the causal relationship between government budget and current account deficits in OECD countries: Evidence from bootstrap panel Granger causality," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 95-104.
  3. Ghassen El Montasser & Ahdi N. Ajmi & Tsangyao Chang & Beatrice D. Simo-Kengne & Christophe Andre & Rangan Gupta, 2013. "Cross-Country Evidence On The Causal Relationship Between Policy Uncertainty And House Prices," Working Papers 201380, University of Pretoria, Department of Economics.
  4. Malinen, Tuomas, 2014. "Does income inequality contribute to credit cycles?," MPRA Paper 52831, University Library of Munich, Germany.
  5. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta & Tsangyao Chang, 2013. "The Dynamic Relationship between House Prices and Output: Evidence from US Metropolitan Statistical Areas," Working Papers 201349, University of Pretoria, Department of Economics.
  6. Furkan Emirmahmutoglu & Nicholas Apergis & Beatrice D. Simo-Kengne & Tsangyao Chang & Rangan Gupta, 2014. "Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test," Working Papers 201411, University of Pretoria, Department of Economics.
  7. Dogru, Bülent & Recepoglu, Mursit, 2013. "Türki̇ye’De Hi̇sse Senedi̇ Fi̇yatlari Ve Dövi̇z Kuru Arasinda Doğrusal Ve Doğrusal Olmayan Eş Bütünleşme İli̇şki̇si̇
    [Linear and Nonlinear Cointegration Relationship between St
    ," MPRA Paper 50505, University Library of Munich, Germany.
  8. Cécile Couharde & Rémi Generoso, 2014. "The ambiguous role of remittances in West African countries facing climate variability," EconomiX Working Papers 2014-37, University of Paris West - Nanterre la Défense, EconomiX.

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