Testing for Granger non-causality in heterogeneous panels

Elena Ivona Dumitrescu and Christophe Hurlin

Economic Modelling, 2012, vol. 29, issue 4, 1450-1460

Abstract: This paper proposes a very simple test of Granger (1969) non-causality for heterogeneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, the semi-asymptotic distribution of the average statistic is characterized for a fixed T sample. A standardized statistic based on an approximation of the moments of Wald statistics is hence proposed. Third, Monte Carlo experiments show that our standardized panel statistics have very good small sample properties, even in the presence of cross-sectional dependence.

Keywords: Granger non-causality; Panel data; Wald test (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1451)

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Related works:
Working Paper: Testing for Granger Non-causality in Heterogeneous Panels (2012)
Working Paper: Testing for Granger Non-causality in Heterogeneous Panels (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:4:p:1450-1460

DOI: 10.1016/j.econmod.2012.02.014

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