Granger Causality Tests in Panel Data Models with Fixed Coefficients
AbstractThis paper proposes an extension of the Granger (1969) causality deﬁnition to panel data models with ﬁxed coefficients. Given the heterogeneity of the data generating process, four definitions of causality relationships are proposed. A procedure of nested tests is then defined and a particular attention is done to finite sample properties of these tests. Finally, an application to the link between financial deepening and economic growth is proposed with a panel of sixteen sub-Saharan countries over the period 1967-1998.
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Bibliographic InfoPaper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/6159.
Date of creation: Jul 2001
Date of revision:
Publication status: Published in Cahiers de recherche d'EURISCO, 2001
sub-Saharan countries; Granger Causality Tests; economic growth; Financial deepening; 1967-1998;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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