Improved Tests for Granger Non-Causality in Panel Data

Xiao, Jiaqi and Juodis, Arturas and Karavias, Yiannis and Sarafidis, Vasilis (2021): Improved Tests for Granger Non-Causality in Panel Data.

Abstract

This article introduces the xtgranger command in Stata, which implements the panel Granger non-causality test approach developed by Juodis, Karavias and Sarafidis (2021). This test offers superior size and power performance to existing tests, which stems from the use of a pooled estimator that has a faster √NT convergence rate. 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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Panel data, Granger non-causality, Nickell bias, Heterogeneous panels, Fixed effects, Half-panel Jackknife, xtgranger.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models

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