Work

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

Year: 2019

Type: article

Abstract: In this article, we review Granger causality tests that are 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.

Source: The Stata Journal Promoting communications on statistics and Stata

DOI: 10.1177/1536867x19893631

Authors: Barbara Rossi, Yiru Wang

Institutions: Universitat Pompeu Fabra, Barcelona School of Economics

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2996419042

FWCI: 21.53

Cites: 24

Cited by: 105

Related to: 10