Testing for Granger causality in panel data
Luciano Lopez and
Sylvain Weber ()
No 17-03, IRENE Working Papers from IRENE Institute of Economic Research
With the development of large and long panel databases, the theory surrounding panel causality evolves at a fast pace and empirical researchers may sometimes find it difficult to run the most recent techniques developed in the literature. This article presents the Stata user-written command xtgcause, which implements a procedure proposed by Dumitrescu & Hurlin (2012) for detecting Granger causality in panel datasets, and thus constitutes an effort to help practitioners understand and apply the test. The command offers the possibility to select the number of lags to include in the model by minimizing the AIC, BIC, or HQIC, and to implement a bootstrap procedure to compute p-values and critical values.
Keywords: Stata; Granger causality; panel datasets; bootstrap. (search for similar items in EconPapers)
JEL-codes: C23 C87 (search for similar items in EconPapers)
Pages: 13 pages.
New Economics Papers: this item is included in nep-ecm
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Journal Article: Testing for Granger causality in panel data (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:irn:wpaper:17-03
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