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

Author

Listed:
  • Barbara Rossi

    (University Pompeu Fabra)

  • Yiru Wang

    (University Pompeu Fabra)

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.

Suggested Citation

  • Barbara Rossi & Yiru Wang, 2019. "Vector autoregressive-based Granger causality test in the presence of instabilities," Stata Journal, StataCorp LP, vol. 19(4), pages 883-899, December.
    • Handle: RePEc:tsj:stataj:v:19:y:2019:i:4:p:883-899
    DOI: 10.1177/1536867X19893631
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    More about this item

    Keywords

    gcrobustvar; Granger causality; vector autoregressive; VAR; instability; structural breaks; local projections;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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