EconPapers    
Economics at your fingertips  
 

Improved Tests for Granger Non-Causality in Panel Data

Jiaqi Xiao, Arturas Juodis, Yiannis Karavias () and Vasilis Sarafidis ()
Additional contact information
Jiaqi Xiao: University of Birmingham
Arturas Juodis: University of Amsterdam

Discussion Papers from Department of Economics, University of Birmingham

Abstract: This article introduces the xtgranger command in Stata, which implements the panel Granger non-causality test approach developed by Juodis et al. (2021). This test offers superior size and power performance to existing tests, which stems from the use of a pooled estimator that has a faster sqrt(NT) convergence rate. The test has two other useful properties; it can be used in multivariate systems and it has power against both homogeneous as well as heterogeneous alternatives.

Keywords: Panel data; Granger non-causality; Nickell bias; Heterogeneous panels; Fixed effects; Half-panel Jackknife; xtgranger (search for similar items in EconPapers)
JEL-codes: E50 E58 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2021-04
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://repec.cal.bham.ac.uk/pdf/21-06.pdf

Related works:
Working Paper: Improved tests for Granger noncausality in panel data (2022) Downloads
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2022) Downloads
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bir:birmec:21-06

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of Birmingham Contact information at EDIRC.
Bibliographic data for series maintained by Oleksandr Talavera ().

 
Page updated 2023-02-01
Handle: RePEc:bir:birmec:21-06