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

Rossi, Barbara and Wang, Yiru (2019): Vector autoregressive-based Granger causality test in the presence of instabilities. Published in: The Stata Journal , Vol. 19, No. 4 (December 2019): pp. 883-899.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: gcrobustvar, Granger-causality, VAR, instability, structural breaks, local projections
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods

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