VAR-based Granger-causality test in the presence of instabilities

Yiru Wang and Barbara Rossi

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: In this article, we review Granger-causality tests robust to the presence of instabilities in a Vector Autoregressive framework. We also introduce the gcrobustvar command, which illustrates the procedure in Stata. In the presence of instabilities, the Granger-causality robust test is more powerful than the traditional Granger-causality test.

Keywords: gcrobustvar; Granger-causality; VAR; instability; structural breaks; local projections (search for similar items in EconPapers)
Date: 2019-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (18)

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Working Paper: VAR-Based Granger-Causality Test in the Presence of Instabilities (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1642

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