Testing for Granger Causality in Heterogeneous Mixed Panels

By Emirmahmutoglu Furkan and Kose Nezir
Economic Modelling (2011)

  • Furkan Emirmahmutoglu

    Gazi University


  • Nezir Kose


October 1, 2013

Last update

April 24, 2018










This code is written to test panel causality which is valid the following cases: 1) The test is valid for four different DGPs in mixed panels involving I(0), I(1), cointegrated and non-cointegrated series. 2) The lag lengths on autoregressive coefficients and exogenous variables can be different for cross-section units. 3) Time periods of each unit should not be same. 4) To prevent cross-section dependency problem, we obtain emprical distribution of the Fisher Test statistic using Bootstrap procedure.

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