Improved tests for Granger noncausality in panel data

Jiaqi Xiao (), Artūras Juodis, Yiannis Karavias, Vasilis Sarafidis and Jan Ditzen
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Jiaqi Xiao: University of Birmingham

Stata Journal, 2023, vol. 23, issue 1, 230-242

Abstract: In this article, we introduce the xtgrangert command, which im- plements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers superior size and power performance to existing tests, which stem from the use of a pooled estimator that has a faster √NT convergence rate. The test has several other useful properties: it can be used in multivariate systems; it has power against both homogeneous and heterogeneous alternatives; and it allows for cross-section dependence and cross-section heteroskedasticity.

Keywords: xtgrangert; xtgrangert postestimation; panel data; Granger causality; Nickell bias; heterogeneous panels; half-panel jackknife; cross-section dependence (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (12)

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http://hdl.handle.net/10.1177/1536867X231162034

Related works:
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)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2021)
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DOI: 10.1177/1536867X231162034

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