VAR-based Granger-causality test in the presence of instabilities
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- dc.contributor.author Wang, Yiru
- dc.contributor.author Rossi, Barbara, 1971-
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:26:43Z
- dc.date.available 2020-05-25T09:26:43Z
- dc.date.issued 2019-01-02
- dc.date.modified 2020-05-25T09:25:52Z
- dc.description.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.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1642
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/44680
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1642
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword gcrobustvar
- dc.subject.keyword granger-causality
- dc.subject.keyword var
- dc.subject.keyword instability
- dc.subject.keyword structural breaks
- dc.subject.keyword local projections
- dc.subject.keyword Macroeconomics and International Economics
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title VAR-based Granger-causality test in the presence of instabilities
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper