Testing for Granger Non-causality in Heterogeneous Panels

By Dumitrescu Elena-Ivona and Hurlin Christophe
Economic Modelling (2012)

  • Christophe Hurlin

    University of Orléans

    France

  • Elena-Ivona Dumitrescu

    University Paris Ouest

    France

Created

September 28, 2013

Last update

June 20, 2016

Software

Matlab

Ranking

1

Visits

19382

Downloads

3554

Description

NEW VERSION: This code computes the Wbar and Zbar test statistics of the Homogenous Non Causality (HNC) hypothesis. Under the null hypothesis of HNC, there is no causal relationship for all the cross-units. Under the alternative, there is a causal relationship from X to Y at least for one cross-unit. The panel must be balanced. The Wbar statistic corresponds to the cross sectional average of the N standard individual Wald statistics of Granger non causality tests. The Zbar tild statistic corresponds to the standardized statistic (for fixed T sample). This new version of the code defines the sample size T as the number of observations used to estimate the model (taking into account the initial conditions) and correct a bugg in the definition of Zhnc (equation (9)). No change for the definition of Zhnc_tild (equation (26)), which is the test statistic that we recommend for finite sample. A special thank to to Gareth Thomas (IHS Markit, Eviews).

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