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Granger Causality Tests in Panel Data Models with Fixed Coefficients

  • Venet, Baptiste
  • Hurlin, Christophe

This 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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File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/6159/1/3F117993d01.pdf
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Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/6159.

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Date of creation: Jul 2001
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Publication status: Published in Cahiers de recherche d'EURISCO, 2001
Handle: RePEc:dau:papers:123456789/6159
Contact details of provider: Web page: http://www.dauphine.fr/en/welcome.html

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  1. Bencivenga, V.R. & Smith, B.D., 1988. "Financial Intermediation And Endogenous Growth," RCER Working Papers 124, University of Rochester - Center for Economic Research (RCER).
  2. repec:fth:wobaco:1083 is not listed on IDEAS
  3. Jeremy Greenwood & Boyan Jovanovic, 1989. "Financial Development, Growth, and the Distribution of Income," NBER Working Papers 3189, National Bureau of Economic Research, Inc.
  4. King, Robert G & Levine, Ross, 1993. "Finance and Growth: Schumpeter Might Be Right," The Quarterly Journal of Economics, MIT Press, vol. 108(3), pages 717-37, August.
  5. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  6. Nair-Reichert, Usha & Weinhold, Diana, 2001. " Causality Tests for Cross-Country Panels: A New Look at FDI and Economic Growth in Developing Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(2), pages 153-71, May.
  7. Judson, Ruth A. & Owen, Ann L., 1999. "Estimating dynamic panel data models: a guide for macroeconomists," Economics Letters, Elsevier, vol. 65(1), pages 9-15, October.
  8. Diana Weinhold, 1996. "Tests de causalité sur données de panel : une application à l'étude de la causalité entre l'investissement et la croissance," Économie et Prévision, Programme National Persée, vol. 126(5), pages 163-175.
  9. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
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