Testing for Granger Non-causality in Heterogeneous Panels

Christophe Hurlin (1) , Elena Dumitrescu (2)

1 LEO - Laboratoire d'économie d'Orleans [2008-2011]
2 LEO - Laboratoire d'Économie d'Orleans [UMR7322]

This paper proposes a very simple test of Granger (1969) non-causality for hetero- geneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, the semi- asymptotic distribution of the average statistic is characterized for a fixed T sample. A standardized statistic based on an approximation of the moments of Wald statistics is hence proposed. Third, Monte Carlo experiments show that our standardized panel statistics have very good small sample properties, even in the presence of cross-sectional dependence.

Mots clés: Granger non-causality; Panel data; Wald Test.; Wald Test

Domaines: Economies et finances

Christophe Hurlin, Elena Dumitrescu. Testing for Granger Non-causality in Heterogeneous Panels. 2012. ⟨halshs-00224434v2⟩