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

11824

Downloads

2071

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).

Time-Varying Risk Premium in Large Cross-Sectional Equity Data Set

Econometrica (2016)

Scaillet Olivier, Gagliardini Patrick, and Ossola Elisa

2017-09-14

Zip Archive

36

179

5

Nonparametric Instrumental Variables Estimation of Structural Quantile Effects

Econometrica (2012)

Scaillet Olivier and Gagliardini Patrick

2017-09-13

Zip Archive

28

181

2

Technical trading revisited: False discoveries, persistence tests, and transaction costs

Journal of Financial Economics (2012)

Bajgrowicz Pierre and Scaillet Olivier

2017-09-13

Zip Archive

40

178

3

Effects of market default risk on index option risk-neutral moments

Quantitative Finance (2015)

Andreou Panayiotis

An experience-utility explanation of the preference for larger assortments

International Journal of Research in Marketing (2017)

Aydinli Aylin , Gu Yangjie, and Tuan Pham Michel

Corporate social responsibility and product quality:Complements or substitutes?

International Journal of Research in Marketing (2017)

Banerjee Sumitro and Wathieu Luc

Empirical generalizations on the impact of stars on the economic success of movies

International Journal of Research in Marketing (2017)

Hofmann Julian, Clement Michel, Völckner Franziska, and Hennig-Thurau Thorsten

How Does the Stock Market Absorb Shocks?

SSRN (2017)

Frank Murray and Sanati Ali

Threshold Effects in the Public Capital Productivity: AnInternational Panel Smooth Transition Approach

IDEAS (2006)

Hurlin Christophe and Colletaz Gilbert

0 comment

Add comment

You need to log in to post a comment.