Granger Causality Tests in Panel Data Models with Fixed Coefficients
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.
|Date of creation:||Jul 2001|
|Date of revision:|
|Publication status:||Published in Cahiers de recherche d'EURISCO, 2001|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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