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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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  • Emirmahmutoglu, Furkan & Kose, Nezir, 2011. "Testing for Granger causality in heterogeneous mixed panels," Economic Modelling, Elsevier, vol. 28(3), pages 870-876, May.
    • Handle: RePEc:eee:ecmode:v:28:y:2011:i:3:p:870-876
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