Testing for Granger Non-causality in Heterogeneous Panels
AbstractThis paper proposes a very simple test of Granger (1969) non-causality for hetero- geneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, the semi- asymptotic distribution of the average statistic is characterized for a fixed T sample. A standardized statistic based on an approximation of the moments of Wald statistics is hence proposed. Third, Monte Carlo experiments show that our standardized panel statistics have very good small sample properties, even in the presence of cross-sectional dependence.
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Date of creation: 2012
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Granger non-causality; Panel data; Wald Test.;
Other versions of this item:
- Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Some Recent Papers on Granger Causality
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-12-02 18:30:00
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