Testing for Granger causality in heterogeneous mixed panels

被引：237

作者：

Emirmahmutoglu, Furkan ^{[1
]}

Kose, Nezir ^{[1
]}

机构：

[1] Gazi Univ, Dept Econometr, TR-06500 Ankara, Turkey

来源：

ECONOMIC MODELLING | 2011年 / 28卷 / 03期

关键词：

Granger causality; Meta analysis; Mixed panels; Cross-sectional dependency; UNIT-ROOT TESTS; VECTOR AUTOREGRESSIONS; STATISTICAL-INFERENCE; ECONOMIC-GROWTH; TIME-SERIES; MODELS; SPECIFICATION; REGRESSIONS; EXPORTS;

D O I：

10.1016/j.econmod.2010.10.018

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：870 / 876

页数：7

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