Testing for Granger Causality in Heterogeneous Mixed Panels

Furkan Emirmahmutoglu, Nezir Kose

Code and Data Abstract

This code is written to test panel causality which is valid the following cases: 1) The test is valid for four different DGPs in mixed panels involving I(0), I(1), cointegrated and non-cointegrated series. 2) The lag lengths on autoregressive coefficients and exogenous variables can be different for cross-section units. 3) Time periods of each unit should not be same. 4) To prevent cross-section dependency problem, we obtain emprical distribution of the Fisher Test statistic using Bootstrap procedure.

Paper Abstract

In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries.

Furkan Emirmahmutoglu, Nezir Kose, et al. "Testing for Granger Causality in Heterogeneous Mixed Panels ." Economic Modelling (2011).     Retrieved 06/24/2019 from researchcompendia.org/compendia/2013.273/

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created 11/12/2013

modified 01/16/2014

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