VAR-Based Granger-Causality Test in the Presence of Instabilities

Yiru Wang and Barbara Rossi

No 1083, Working Papers from Barcelona School of Economics

Abstract: In this article, we review Granger-causality tests 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: structural breaks; VAR; instability; local projections; gcrobustvar; Granger-causality (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2019-04
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Citations: View citations in EconPapers (11)

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Working Paper: VAR-based Granger-causality test in the presence of instabilities (2019)
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