Improved Tests for Granger Non-Causality in Panel Data
Yiannis Karavias () and
Vasilis Sarafidis ()
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Jiaqi Xiao: University of Birmingham
Arturas Juodis: University of Amsterdam
Discussion Papers from Department of Economics, University of Birmingham
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
New Economics Papers: this item is included in nep-mac and nep-ore
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Working Paper: Improved tests for Granger noncausality in panel data (2022)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2022)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:bir:birmec:21-06
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