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

Wang, Yiru; Rossi, Barbara, 1971-

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

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Wang, Y, Rossi, B. VAR-based Granger-causality test in the presence of instabilities. 2019. handle: http://hdl.handle.net/10230/44680

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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.