期刊
STATA JOURNAL
卷 19, 期 4, 页码 883-899出版社
SAGE PUBLICATIONS INC
DOI: 10.1177/1536867X19893631
关键词
st0581; gcrobustvar; Granger causality; vector autoregressive; VAR; instability; structural breaks; local projections
资金
- European Research Council (ERC)
- Spanish Ministry of Economy and Competitiveness through the Severo Ochoa Programme for Centres of Excellence in RD [SEV-2015-0563]
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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