Vector autoregressive-based Granger causality test in the presence of instabilities

Barbara Rossi and Yiru Wang

MPRA Paper from University Library of Munich, Germany

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: 2019-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (29)

Published in The Stata Journal 4.19(2019): pp. 883-899

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101492

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