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

16029

Downloads

2887

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).

Stock prices, exchange rates and portfolio equity flows: A Toda-Yamamoto Panel Causality Test

Journal of Economic Studies (2019)

Andriansyah Andriansyah

Catch me if you can. Can human observers identify insiders in asset markets?

Journal of Economic Psychology (2018)

Palan Stefan and Stöckl Thomas

Aggregation mechanisms for crowd predictions

Experimental Economics (2019)

Huber Jürgen, Palan Stefan, and Senninger Larissa

Does Investor Risk Perception Drive Asset Prices in Markets? Experimental Evidence.

Journal of Banking and Finance (2019)

Huber Jürgen, Zeisberger Stefan, and Palan Stefan

Capital, risk and profitability of WAEMU banks: Does bank ownership matter?

SOAS Centre for Global Finance (2019)

Kanga, Desire, Murinde Victor, and Soumare Issouf

The impact of interest rate ceilings on households' credit access: Evidence from a 2013 Chilean legislation

Journal of Banking and Finance (2019)

Madeira Carlos

On the Monetization of Mobile Apps

International Journal of Research in Marketing (2020)

Appel Gil, Libai Barak, Muller Eitan, and Shachar Ron

Heterogeneous Inflation Expectations and Learning

Journal of Money, Credit and Banking (2015)

Madeira Carlos and Zafar Basit

Package graphic design and communication across cultures: An investigation of Chinese consumers’ interpretation of imported wine labels

International Journal of Research in Marketing (2019)

Cheng Peiyao, Masson Josselin, Celhay Franck, and Li Wenhua

0 comment

Add comment

You need to log in to post a comment.