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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

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: 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)
Date: 2019-01
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