TVGC: Stata module to perform Time-Varying Granger Causality tests

Jesus Otero, Christopher Baum and Stan Hurn

Statistical Software Components from Boston College Department of Economics

Abstract: tvgc implements the VAR-based time-varying Granger causality tests proposed by Shi, Phillips and Hurn (J. Time Series Anal., 2018). These are sequences of Wald statistics based on forward recursive estimation, rolling estimation, and recursive evolving estimation. The command also supports estimation of these three sequences of Wald statistics in the context of a Lag-Augmented VAR (LA-VAR) model, as recommended to allow for the possibility of integrated variables; see Shi, Hurn, Phillips (J. Fin. Econometrics, 2020) and the references therein. tvgc computes 90th, 95th, and 99th percentile bootstrap critical values following the bootstrap scheme advocated by Shi et al. (2018, 2020).

Language: Stata
Requires: Stata version 14 and moremata from SSC (q.v.)
Keywords: Granger causality; rolling window; Phillips; Shi; Hurn (search for similar items in EconPapers)
Date: 2021-02-25, Revised 2024-01-18
Note: This module should be installed from within Stata by typing "ssc install tvgc". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/t/tvgc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tvgc0.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tvgc_boot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tvgc.sthlp help file (text/plain)

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