Improved tests for Granger noncausality in panel data

• Autores: Jiaqi Xiao, Artūras Juodis, Yiannis Karavias, Vasilis Sarafidis, Jan Ditzen
• Localización: The Stata journal, ISSN 1536-867X, Vol. 23, Nº. 1, 2023, págs. 230-242
• Idioma: inglés
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• Resumen

  • In this article, we introduce the xtgrangert command, which im- plements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers superior size and power performance to existing tests, which stem from the use of a pooled estimator that has a faster √N T convergence rate. The test has several other useful properties: it can be used in multivariate systems; it has power against both homogeneous and heterogeneous alternatives; and it allows for cross-section dependence and cross-section heteroskedasticity.