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Testing for Granger causality in panel data

Luciano Lopez and Sylvain Weber ()

Stata Journal, 2017, vol. 17, issue 4, 972-984

Abstract: With the development of large and long panel databases, the theory surrounding panel causality evolves quickly, and empirical researchers might find it difficult to run the most recent techniques developed in the literature. In this article, we present the community-contributed command xtgcause, which imple- ments a procedure proposed by Dumitrescu and Hurlin (2012, Economic Modelling 29: 1450–1460) for detecting Granger causality in panel datasets. Thus, it con- stitutes an effort to help practitioners understand and apply the test. xtgcause offers the possibility of selecting the number of lags to include in the model by minimizing the Akaike information criterion, Bayesian information criterion, or Hannan–Quinn information criterion, and it offers the possibility to implement a bootstrap procedure to compute p-values and critical values.

Keywords: xtgcause; Granger causality; panel datasets; bootstrap (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:tsj:stataj:v:17:y:2017:i:4:p:972-984