Wang, YiruRossi, Barbara, 1971-Universitat Pompeu Fabra. Departament d'Economia i Empresa2020-05-252020-05-252019-01-02http://hdl.handle.net/10230/44680In 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsVAR-based Granger-causality test in the presence of instabilities<resourceType xmlns="http://datacite.org/schema/kernel-3" resourceTypeGeneral="Other">info:eu-repo/semantics/workingPaper</resourceType><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">gcrobustvar</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">granger-causality</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">var</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">instability</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">structural breaks</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">local projections</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Macroeconomics and International Economics</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Statistics, Econometrics and Quantitative Methods</subject><rights xmlns="http://datacite.org/schema/kernel-3">info:eu-repo/semantics/openAccess</rights>