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Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène

Author

Listed:
  • Christophe Hurlin

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper proposes a simple test of Granger [1969] non causality hypothesis in heterogeneous panel data models with fixed coefficients. It proposes a statistic of test based on averaging standard individual Wald statistics of Granger non causality tests. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, for a fixed T sample the semi-asymptotic distribution of the average statistic is characterized and a standardized statistic based on general approximations of the moments of individual Wald statistics is proposed. Monte Carlo experiments show that both statistics provide good small sample properties.
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Suggested Citation

  • Christophe Hurlin, 2005. "Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène," Post-Print halshs-00257326, HAL.
    • Handle: RePEc:hal:journl:halshs-00257326
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    Cited by:

    1. Marc Raffinot & Baptiste Venet, 2013. "Low Income Countries, Credit Rationing and Debt Relief: Bye bye international financial market?," Working Papers DT/2013/03, DIAL (Développement, Institutions et Mondialisation).
    2. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2011. "Does Euro or Dollar Pegging Impact the Real Exchange Rate? The Case of Oil and Commodity Currencies," The World Economy, Wiley Blackwell, vol. 34(9), pages 1557-1592, September.
    3. Lansana Bangoura & Diadié Diaw & Karim Barkat, 2013. "Does North-South trade favors training effects : What to learn from trade sophistication links?," Economics Bulletin, AccessEcon, vol. 33(4), pages 2763-2777.
    4. Jenn-Hong Tang & Cheng-Chung Lai & Eric Lin, 2009. "Military Expenditure And Unemployment Rates: Granger Causality Tests Using Global Panel Data," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(4), pages 253-267.
    5. Coffinet, Jérôme & Coudert, Virginie & Pop, Adrian & Pouvelle, Cyril, 2012. "Two-way interplays between capital buffers and credit growth: Evidence from French banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1110-1125.
    6. Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
    7. Nouira, Ridha & Plane, Patrick & Sekkat, Khalid, 2011. "Exchange rate undervaluation and manufactured exports: A deliberate strategy?," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 584-601.
    8. Eric S. Lin & Hamid E. Ali, 2009. "Military Spending and Inequality: Panel Granger Causality Test," Journal of Peace Research, Peace Research Institute Oslo, vol. 46(5), pages 671-685, September.
    9. Christophe Hurlin & Baptiste Venet, 2008. "Financial Development and Growth: A Re-Examination using a Panel Granger Causality Test," Working Papers halshs-00319995, HAL.
    10. Marcella Nicolini & Alessia Paccagnini, 2011. "Does Trade Foster Institutions?," Open Access publications 10197/7587, School of Economics, University College Dublin.
    11. Marcella Nicolini & Alessia Paccagnini, 2011. "Does Trade Foster Institutions? An Empirical Assessment," Review of Economics and Institutions, Università di Perugia, vol. 2(2).
    12. Nabi, Mahmoud Sami & Suliman, Mohamed Osman, 2008. "The Institutional Environment and the Banking - Growth Nexus: Theory and Investigation for MENA," MPRA Paper 11854, University Library of Munich, Germany.
    13. repec:dau:papers:123456789/122 is not listed on IDEAS
    14. Karikallio, Hanna, 2015. "Cross-commodity Price Transmission and Integration of the EU Livestock Market of Pork and Beef: Panel Time-series Approach," 2015 Conference, August 9-14, 2015, Milan, Italy 211832, International Association of Agricultural Economists.
    15. N.P. Ravindra Deyshappriya, 2016. "The Causality Direction of the Stock Market–Growth Nexus: Application of GMM Dynamic Panel Data and the Panel Ganger Non-causality Tests," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(4), pages 446-464, November.
    16. SULIMAN, Osman, 2013. "Do Capital Inflows Cause Currency Black Markets In Mena Countries? Causality Tests For Heterogeneous Panels," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(1), pages 187-202.
    17. Virginie Terraza & Carole Toque, 2009. "The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 149-160, November.
    18. Wu, Shih-Ying & Tang, Jenn-Hong & Lin, Eric S., 2010. "The impact of government expenditure on economic growth: How sensitive to the level of development?," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 804-817, November.
    19. Heike Grimm & Johannes Jaenicke, 2015. "Testing the causal relationship between academic patenting and scientific publishing in Germany: Crowding-out or reinforcement?," The Journal of Technology Transfer, Springer, vol. 40(3), pages 512-535, June.
    20. Vu, Nam T., 2015. "Stock market volatility and international business cycle dynamics: Evidence from OECD economies," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 1-15.

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