Improved Tests for Granger Non-Causality in Panel Data

Jiaqi Xiao, Arturas Juodis, Yiannis Karavias, Vasilis Sarafidis and Jan Ditzen

MPRA Paper from University Library of Munich, Germany

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 several other useful properties; it can be used in multivariate systems, it has power against both homogeneous as well as heterogeneous alternatives, and it allows for cross-section dependence and cross-section heteroskedasticity.

Keywords: Panel data; Granger causality; Nickell bias; Heterogeneous panels; Halfpanel Jackknife; Cross-section dependence; xtgranger. (search for similar items in EconPapers)
JEL-codes: C12 C23 C33 G21 (search for similar items in EconPapers)
Date: 2022-08-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Improved tests for Granger noncausality in panel data (2023)
Working Paper: Improved tests for Granger noncausality in panel data (2022)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2021)
Working Paper: Improved Tests for Granger Non-Causality in Panel Data (2021)
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