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Causality Estimation in Panel Data

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  • Hrishikesh Vinod

    (Fordham University, Department of Economics)

Abstract

Evaluation of causal paths from panel data (time series of cross sections or lon- gitudinal data) can use pooled data, ignoring the time and space dimensions. More generally, we want to draw readers' attention to an algorithm causeSum2Panel(.), freely available in the R package 'generalCorr.' It estimates causality directions and strengths, focusing on the time and space dimensions. We describe new tools using the space dimension data to formally test Granger causal directions. We illustrate the uniquely new insights gained from the two dimensions, using three datasets already available in the R package 'plm' for panel linear models, namely Grunfeld, Crime, and Cigar. Among new insights available nowhere else, we identify which regressions suffer from endogeneity issues, causal path directions, and strengths. We indicate fruitful areas for further research in studies of panel data.

Suggested Citation

  • Hrishikesh Vinod, 2023. "Causality Estimation in Panel Data," Fordham Economics Discussion Paper Series dp2023-09er:dp2023-09, Fordham University, Department of Economics.
    • Handle: RePEc:frd:wpaper:dp2023-09er:dp2023-09
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    File URL: https://archive.fordham.edu/ECONOMICS_RESEARCH/PAPERS/dp2023_09_vinod.pdf
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    References listed on IDEAS

    as
    1. David E. Allen & Michael McAleer, 2022. "“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(537), pages 214-224, January.
    2. Croissant, Yves & Millo, Giovanni, 2008. "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i02).
    3. David E Allen & Vince Hooper, 2018. "Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models," Sustainability, MDPI, vol. 10(8), pages 1-15, August.
    4. Hayfield, Tristen & Racine, Jeffrey S., 2008. "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i05).
    5. David E. Allen, 2022. "Cryptocurrencies, Diversification and the COVID-19 Pandemic," JRFM, MDPI, vol. 15(3), pages 1-25, February.
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    More about this item

    Keywords

    Porfolio choice;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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