Arbeitspapier
Testing for Granger causality in panel data
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IRENE Working Paper ; No. 17-03
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Econometric Software
- Thema
-
Stata
Granger causality
panel datasets
bootstrap
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lopez, Luciano
Weber, Sylvain
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Neuchâtel, Institute of Economic Research (IRENE)
- (wo)
-
Neuchâtel
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lopez, Luciano
- Weber, Sylvain
- University of Neuchâtel, Institute of Economic Research (IRENE)
Entstanden
- 2017
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