Testing for Granger causality in heterogeneous mixed panels

Furkan Emirmahmutoglu and Nezir Kose

Economic Modelling, 2011, vol. 28, issue 3, 870-876

Abstract: In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries.

Keywords: Granger; causality; Meta; analysis; Mixed; panels; Cross-sectional; dependency (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (121)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:3:p:870-876

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