Department of Economics and Business - Universitat Pompeu Fabra

Title:: VAR-based Granger-causality test in the presence of instabilities
Authors:: Yiru Wang and Barbara Rossi
Date:: January 2019
Abstract:: 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.
Keywords:: gcrobustvar, Granger-causality, VAR, instability, structural breaks, local projections
Area of Research:: Macroeconomics and International Economics / Statistics, Econometrics and Quantitative Methods

Download the paper in PDF format (306 Kb)

Search Working Papers

By Author:
-enter one surname only or surname and first name separated by a comma and in this order-

By Date:
-when used a value in each of the four fields must be selected-
from (month) from (year) to (month) to (year)

By Keywords:
-separate each keyword or group of keywords by commas-

By JEL code(s):
-separate each code by commas-

By Area:

Predefined Queries