Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia

Abdulnasser Hatemi-J

Economia Internazionale / International Economics, 2020, vol. 73, issue 3, 389-404

Abstract: Tests for conducting asymmetric Granger causality within a panel system are introduced in this paper. It is shown how the cumulative sums of negative and positive shocks can be constructed to investigate whether the potential causal effects of these shocks are asymmetrical or not within a panel system. These tests can be based on asymptotic or bootstrap distributions. In addition, a test for efficiency gains of the suggested estimation method is introduced. An information criterion is also provided for selecting the optimal lag order in the autoregressive panel model. The suggested methods are applied to assess the impact of contractionary as well as expansionary fiscal policy on the economic performance of the three Scandinavian countries. The results show that allowing for asymmetry in the panel causality testing has important repercussions for the underlying causal inference. Panel test di causalità asimmetrici applicati all’impatto della politica fiscale sulla performance dell’economia in Scandinavia In questo articolo si descrivono test effettuati all’interno di un sistema panel per analizzare la causalità Granger asimmetrica. Viene mostrato come la somma di shock positivi e negativi può essere costruita per valutare se gli effetti causali potenziali di questi shock sono asimmetrici in un sistema panel. Questi test possono essere basati su distribuzioni asintotiche o di ricampionamento. Inoltre, si introduce un test per i guadagni di efficienza del metodo adottato. Viene anche suggerito un criterio di informazione per selezionare l’ordine di intervallo ottimale in un modello panel autoregressivo. Tali metodi sono applicati per valutare l’impatto di una politica fiscale contrattiva o espansiva sull’andamento dell’economia dei tre paesi scandinavi. I risultati mostrano che prendere in considerazione l’asimmetria quando si effettua il panel test di causalità ha importanti ripercussioni sulla sottostante inferenza causale.

Keywords: Asymmetric Causality; Panel; Fiscal Policy; Scandinavia (search for similar items in EconPapers)
JEL-codes: C33 H21 H26 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Working Paper: Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia (2011)
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