Improved Tests for Granger Non-Causality in Panel Data

Jiaqi Xiao, Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis
Additional contact information
Jiaqi Xiao: University of Birmingham
Arturas Juodis: University of Amsterdam

Discussion Papers from Department of Economics, University of Birmingham

Abstract: This article introduces the xtgranger command in Stata, which implements the panel Granger non-causality test approach developed by Juodis et al. (2021). This test offers superior size and power performance to existing tests, which stems from the use of a pooled estimator that has a faster sqrt(NT) convergence rate. The test has two other useful properties; it can be used in multivariate systems and it has power against both homogeneous as well as heterogeneous alternatives.

Keywords: Panel data; Granger non-causality; Nickell bias; Heterogeneous panels; Fixed effects; Half-panel Jackknife; xtgranger (search for similar items in EconPapers)
JEL-codes: E50 E58 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2021-04
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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https://repec.cal.bham.ac.uk/pdf/21-06.pdf

Related works:
Journal Article: Improved tests for Granger noncausality in panel data (2023)
Working Paper: Improved tests for Granger noncausality in panel data (2022)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2022)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:bir:birmec:21-06

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