The DOI matches its Crossref record; 13 of the 13 references it cites were found in a registry or an index.
Testing for Granger Causality in Panel Data
Open accessAbstract
With the development of large and long panel databases, the theory surrounding panel causality evolves quickly, and empirical researchers might find it difficult to run the most recent techniques developed in the literature. In this article, we present the community-contributed command xtgcause, which implements a procedure proposed by Dumitrescu and Hurlin (2012, Economic Modelling 29: 1450–1460) for detecting Granger causality in panel datasets. Thus, it constitutes an effort to help practitioners understand and apply the test. xtgcause offers the possibility of selecting the number of lags to include in the model by minimizing the Akaike information criterion, Bayesian information criterion, or Hannan–Quinn information criterion, and it offers the possibility to implement a bootstrap procedure to compute p-values and critical values.
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Cites
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Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
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Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
Testing for Granger non-causality in heterogeneous panels
Dumitrescu, E.-I., & Hurlin, C. (2012) · Economic Modelling · doi:10.1016/j.econmod.2012.02.014 · Cited by 5,922
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Cited by
A homogeneous approach to testing for Granger non-causality in heterogeneous panels
Juodis, A., Karavias, Y., & Sarafidis, V. (2021) · Empirical Economics · doi:10.1007/s00181-020-01970-9 · Cited by 487
Khelfaoui, I., Xie, Y., Hafeez, M., Ahmed, D., Degha, H. E., & Meskher, H. (2022) · International Journal of Environmental Research and Public Health · doi:10.3390/ijerph19127338 · Cited by 24
Sun, T. (2025) · Journal of Risk and Insurance · doi:10.1111/jori.70023 · Cited by 6
Metadata
- Authors
- Lopez, L., & Weber, S.
- Venue
- The Stata Journal: Promoting communications on statistics and Stata
- Publisher
- SAGE Publications
- Published
- 2017-12
- Volume
- 17
- Issue
- 4
- Pages
- 972-984
- ISSN
- 1536-867X (ISSN-L)
- 1536-8734
- OpenAlex
- W2605993057
- Cited by
- 339
- References
- 13
- FWCI
- 29.30
- Type
- journal article
- Language
- en
- Open access
- green
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