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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.

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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.

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