Paper #1642
- Títol:
- VAR-based Granger-causality test in the presence of instabilities
- Autors:
- Yiru Wang i Barbara Rossi
- Data:
- Gener 2019
- Resum:
- In this article, we review Granger-causality tests 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.
- Paraules clau:
- gcrobustvar, Granger-causality, VAR, instability, structural breaks, local projections
- Àrea de Recerca:
- Macroeconomia i Economia Internacional / Estadística, Econometria i Mètodes Quantitatius
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