Testing for time-varying Granger causality

Christopher Baum, Stan Hurn, Kenneth Lindsay () and Jesus Otero
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Kenneth Lindsay: University of Glasgow

Stata Journal, 2022, vol. 22, issue 2, 355-378

Abstract: The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.

Keywords: tvgc; Granger causality; time variation; temporal stability; datestamping (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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Working Paper: Testing for time-varying Granger causality (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:22:y:2022:i:2:p:355-378

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DOI: 10.1177/1536867X221106403

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