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

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dc.contributor.authorWang, Yiru
dc.contributor.authorRossi, Barbara, 1971-
dc.contributor.otherUniversitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned2020-05-25T09:26:43Z
dc.date.available2020-05-25T09:26:43Z
dc.date.issued2019-01-02
dc.date.modified2020-05-25T09:25:52Z
dc.description.abstractIn 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.mimetypeapplication/pdf*
dc.identifierhttps://econ-papers.upf.edu/ca/paper.php?id=1642
dc.identifier.citation
dc.identifier.urihttp://hdl.handle.net/10230/44680
dc.language.isoeng
dc.relation.ispartofseriesEconomics and Business Working Papers Series; 1642
dc.rightsL'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.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.keywordgcrobustvar
dc.subject.keywordgranger-causality
dc.subject.keywordvar
dc.subject.keywordinstability
dc.subject.keywordstructural breaks
dc.subject.keywordlocal projections
dc.subject.keywordMacroeconomics and International Economics
dc.subject.keywordStatistics, Econometrics and Quantitative Methods
dc.titleVAR-based Granger-causality test in the presence of instabilities
dc.title.alternative
dc.typeinfo:eu-repo/semantics/workingPaper

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