Vector autoregressive-based Granger causality test in the presence of instabilities

Barbara Rossi · Yiru Wang

105 citations0/0 files storedThe Stata Journal Promoting communications on statistics and Stata

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Spatial and Panel Data Analysis

Abstract

In this article, we review Granger causality tests that are 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.

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1980Macroeconomics and Reality 2005Estimation and Inference of Impulse Responses by Local Projections 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1994Automatic Lag Selection in Covariance Matrix Estimation 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US 1999Forecasting inflation

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