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Browsing Recerca: working papers, preprints, informes, etc. by Subject "gcrobustvar"

Browsing Recerca: working papers, preprints, informes, etc. by Subject "gcrobustvar"

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  • Wang, Yiru; Rossi, Barbara, 1971- (2019-01-02)
    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 ...

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