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Research . 2019
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Research . 2019
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VAR-based Granger-causality test in the presence of instabilities

descriptionPublicationkeyboard_double_arrow_right Research 01 Jan 2019 Spain
Authors: Wang, Yiru; Rossi, Barbara, 1971-;

handle: 10230/44680

VAR-based Granger-causality test in the presence of instabilities

Abstract

In this article, we review Granger-causality tests robust to the presence of instabilities in a Vector Autoregressive framework. We also introduce the gcrobustvar command, which illustrates the procedure in Stata. In the presence of instabilities, the Granger-causality robust test is more powerful than the traditional Granger-causality test.

Country
Spain
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Keywords

gcrobustvar, instability, Statistics, Econometrics and Quantitative Methods, Macroeconomics and International Economics, var, structural breaks, local projections, granger-causality

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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