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Testing for Granger Non-causality in Heterogeneous Panels

Abstract : This paper proposes a very simple test of Granger (1969) non-causality for heterogeneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the groups. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, for a fixed T sample the semi-asymptotic distribution of the average statistic is characterized. A standardized statistic based on an approximation of the moments of Wald statistics is proposed. Monte Carlo experiments show that our panel standardized statistics provide very good small sample properties.
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Preprints, Working Papers, ...
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https://halshs.archives-ouvertes.fr/halshs-00224434
Contributor : Christophe Hurlin <>
Submitted on : Wednesday, January 30, 2008 - 9:35:42 AM
Last modification on : Tuesday, February 19, 2019 - 1:14:01 PM
Long-term archiving on: : Friday, April 30, 2010 - 9:12:26 PM

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  • HAL Id : halshs-00224434, version 1

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Christophe Hurlin. Testing for Granger Non-causality in Heterogeneous Panels. 2008. ⟨halshs-00224434v1⟩

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