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TVGC: Stata module to perform Time-Varying Granger Causality tests

Author

Listed:
  • Jesús Otero

    (Universidad del Rosario)

  • Christopher F Baum

    (Boston College)

  • Stan Hurn

    (Queensland University of Technology)

Programming Language

Stata

Abstract

tvgc implements the VAR-based time-varying Granger causality tests proposed by Shi, Phillips and Hurn (J. Time Series Anal., 2018). These are sequences of Wald statistics based on forward recursive estimation, rolling estimation, and recursive evolving estimation. The command also supports estimation of these three sequences of Wald statistics in the context of a Lag-Augmented VAR (LA-VAR) model, as recommended to allow for the possibility of integrated variables; see Shi, Hurn, Phillips (J. Fin. Econometrics, 2020) and the references therein. tvgc computes 90th, 95th, and 99th percentile bootstrap critical values following the bootstrap scheme advocated by Shi et al. (2018, 2020).

Suggested Citation

  • Jesús Otero & Christopher F Baum & Stan Hurn, 2021. "TVGC: Stata module to perform Time-Varying Granger Causality tests," Statistical Software Components S458916, Boston College Department of Economics, revised 18 Jan 2024.
    • Handle: RePEc:boc:bocode:s458916
    Note: This module should be installed from within Stata by typing "ssc install tvgc". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvgc.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvgc0.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvgc_boot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvgc.sthlp
    File Function: help file
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