Testing for Granger Causality in Heterogeneous Mixed Panels

By Emirmahmutoglu Furkan and Kose Nezir
Economic Modelling (2011)

  • Furkan Emirmahmutoglu

    Gazi University

    Turkey

  • Nezir Kose

Created

October 1, 2013

Last update

April 24, 2018

Software

Matlab

Ranking

20

Visits

5281

Downloads

741

Description

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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