Testing for Granger Non-causality in Heterogeneous Panels
Christophe Hurlin and
Elena Ivona Dumitrescu
Working Papers from HAL
Abstract:
This paper proposes a very simple test of Granger (1969) non-causality for hetero- geneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, the semi- asymptotic distribution of the average statistic is characterized for a fixed T sample. A standardized statistic based on an approximation of the moments of Wald statistics is hence proposed. Third, Monte Carlo experiments show that our standardized panel statistics have very good small sample properties, even in the presence of cross-sectional dependence.
Keywords: Granger non-causality; Panel data; Wald Test.; Wald Test (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00224434v2
References: Add references at CitEc
Citations: View citations in EconPapers (1428)
Downloads: (external link)
https://shs.hal.science/halshs-00224434v2/document (application/pdf)
Related works:
Journal Article: Testing for Granger non-causality in heterogeneous panels (2012)
Working Paper: Testing for Granger Non-causality in Heterogeneous Panels (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-00224434
Access Statistics for this paper
More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().