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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/27292
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dc.contributor.authorXiao, J-
dc.contributor.authorKaravias, Y-
dc.contributor.authorJuodis, A-
dc.contributor.authorSarafidis, V-
dc.contributor.authorDitzen, J-
dc.date.accessioned2023-10-02T13:11:57Z-
dc.date.available2023-10-02T13:11:57Z-
dc.date.issued2023-04-05-
dc.identifierORCID iDs: Yiannis Karavias https://orcid.org/0000-0002-1208-5537; Vasilis Sarafidis https://orcid.org/0000-0001-6808-3947.-
dc.identifier.citationXiao, J. et al. (2023) 'Improved Tests for Granger Non-Causality in Panel Data', Stata Journal, 23, pp. 230 - 242. doi: 10.1177/1536867X231162034.en_US
dc.identifier.issn1536-867X-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/27292-
dc.descriptionSupplementary is available online at https://journals.sagepub.com/doi/10.1177/1536867X231162034#supplementary-materials .en_US
dc.description.abstractCopyright © Stata Corp LLC 2023. In this article, we introduce the xtgrangert command, which implements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers superior size and power performance to existing tests, which stem from the use of a pooled estimator that has a faster √NT convergence rate. The test has several other useful properties: it can be used in multivariate systems; it has power against both homogeneous and heterogeneous alternatives; and it allows for cross-section dependence and cross-section heteroskedasticity.en_US
dc.description.sponsorshipNetherlands Organization for Scientific Research (NWO) under research grant number 451-17-002; Italian Ministry MIUR under the PRIN project Hi-Di NET—Econometric Analysis of High Dimensional Models with Network Structures in Macroeconomics and Finance (grant 2017TA7TYC)..en_US
dc.format.extent230 - 242-
dc.format.mediumPrint-Electronic-
dc.language.isoen_USen_US
dc.publisherSAGE Publicationsen_US
dc.rightsCopyright © Stata Corp LLC 2023. Rights and permissions: Creative Commons License (CC BY 4.0). This article is distributed under the terms of the Creative Commons Attribution 4.0 License (https://creativecommons.org/licenses/by/4.0/) which permits any use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access pages (https://us.sagepub.com/en-us/nam/open-access-at-sage).-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectst0706en_US
dc.subjectxtgrangerten_US
dc.subjectxtgrangert postestimationen_US
dc.subjectpanel dataen_US
dc.subjectGranger causalityen_US
dc.subjectNickell biasen_US
dc.subjectheterogeneous panelsen_US
dc.subjecthalf-panel jackknifeen_US
dc.subjectcross-section dependenceen_US
dc.titleImproved Tests for Granger Non-Causality in Panel Dataen_US
dc.typeArticleen_US
dc.relation.isPartOfStata Journal-
pubs.volume23-
dc.rights.holderStata Corp LLC-
Appears in Collections:Dept of Economics and Finance Research Papers

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