XTGRANGERT: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data

Jiaqi Xiao (), Yiannis Karavias, Vasilis Sarafidis, Artūras Juodis and Jan Ditzen
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Jiaqi Xiao: University of Birmingham

Statistical Software Components from Boston College Department of Economics

Abstract: xtgrangert performs the Half-Panel Jackknife (HPJ) Wald-type test for Granger non-causality, developed by Juodis, Karavias, and Sarafidis (Empirical Economics, 2021). This test offers superior size and power performance, which stems from the use of a pooled estimator with a (NT)^(1/2) rate of convergence. 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. The command also reports results for the HPJ estimator.

Language: Stata
Requires: Stata version 12
Keywords: Granger causality; panel data; heterogeneous panels (search for similar items in EconPapers)
Date: 2021-04-15, Revised 2023-01-08
Note: This module should be installed from within Stata by typing "ssc install xtgrangert". 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/x/xtgrangert.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgrangert_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgrangert.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtgrangert_example.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/x/xtgrangert_example.do sample do-file (text/plain)

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