Testing for Granger causality in panel data
Luciano Lopez and
Sylvain Weber ()
Stata Journal, 2017, vol. 17, issue 4, 972-984
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)
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj17-4/st0507/
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0507 link to article purchase
Working Paper: Testing for Granger causality in panel data (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:17:y:2017:i:4:p:972-984
Ordering information: This journal article can be ordered from
Access Statistics for this article
Stata Journal is currently edited by H. Joseph Newton and Nicholas J. Cox
More articles in Stata Journal from StataCorp LP
Bibliographic data for series maintained by Christopher F. Baum ().