Paper #1642

Título:

VAR-based Granger-causality test in the presence of instabilities

Autores:

Yiru Wang y Barbara Rossi

Data:

Enero 2019

Resumen:

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.

Palabras clave:

gcrobustvar, Granger-causality, VAR, instability, structural breaks, local projections

Área de investigación:

Macroeconomía y Economía Internacional / Estadística, Econometría y Métodos Cuantitativos

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