Vector autoregressive-based Granger causality test in the presence of instabilities

Barbara Rossi and Yiru Wang

Stata Journal, 2019, vol. 19, issue 4, 883-899

Abstract: In this article, we review Granger causality tests that are robust to the presence of instabilities in a vector autoregressive framework. We also introduce the gcrobustvar command, which illustrates the procedure in Stata. In the presence of instabilities, the Granger causality robust test is more powerful than the traditional Granger causality test.

Keywords: gcrobustvar; Granger causality; vector autoregressive; VAR; instability; structural breaks; local projections (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (29)

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Working Paper: Vector autoregressive-based Granger causality test in the presence of instabilities (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:19:y:2019:i:4:p:883-899

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DOI: 10.1177/1536867X19893631

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