VAR-Based Granger-Causality Test in the Presence of Instabilities
Yiru Wang and
Barbara Rossi ()
No 1083, Working Papers from Barcelona Graduate School of Economics
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: gcrobustvar; Granger-causality; VAR; instability; structural breaks; local projections (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
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Working Paper: VAR-based Granger-causality test in the presence of instabilities (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:1083
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