Un test simple de l'hypothèse de non-causalité dans un modèle de panel hétérogène

Christophe Hurlin

Revue économique, 2005, vol. 56, issue 3, 799-809

Abstract: This paper proposes a simple test of Granger [1969] non causality hypothesis in heterogeneous panel data models with fixed coefficients. It proposes a statistic of test based on averaging standard individual Wald statistics of Granger non causality tests. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, for a fixed T sample the semi-asymptotic distribution of the average statistic is characterized and a standardized statistic based on general approximations of the moments of individual Wald statistics is proposed. Monte Carlo experiments show that both statistics provide good small sample properties.

Date: 2005
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Related works:
Working Paper: Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène (2005)
Working Paper: Un test simple de l'hypothèse de non causalité dans un modèle de panel hétérogène (2004)
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