Testing for Granger causality in heterogeneous mixed panels

被引：225
|
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
收藏
页码：870 / 876
页数：7
相关论文
共 50 条
  • [21] Testing for Granger Causality in the Frequency Domain: A Phase Resampling Method
    Liu, Siwei
    Molenaar, Peter
    MULTIVARIATE BEHAVIORAL RESEARCH, 2016, 51 (01) : 53 - 66
  • [22] Granger Causality Testing with Intensive Longitudinal Data
    Peter C. M. Molenaar
    Prevention Science, 2019, 20 : 442 - 451
  • [23] Validity of Time Reversal for Testing Granger Causality
    Winkler, Irene
    Panknin, Danny
    Bartz, Daniel
    Mueller, Klaus-Robert
    Haufe, Stefan
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2016, 64 (11) : 2746 - 2760
  • [24] Granger Causality Testing with Intensive Longitudinal Data
    Molenaar, Peter C. M.
    PREVENTION SCIENCE, 2019, 20 (03) : 442 - 451
  • [25] Heterogeneous Graphical Granger Causality by Minimum Message Length
    Hlavackova-Schindler, Katerina
    Plant, Claudia
    ENTROPY, 2020, 22 (12) : 1 - 21
  • [26] Bibliometric Analysis of Granger Causality Studies
    Lam, Weng Siew
    Lam, Weng Hoe
    Jaaman, Saiful Hafizah
    Lee, Pei Fun
    ENTROPY, 2023, 25 (04)
  • [27] Granger causality revisited
    Friston, Karl J.
    Bastos, Andre M.
    Oswal, Ashwini
    van Wijk, Bernadette
    Richter, Craig
    Litvak, Vladimir
    NEUROIMAGE, 2014, 101 : 796 - 808
  • [28] Lag length selection and p-hacking in Granger causality testing: prevalence and performance of meta-regression models
    Bruns, Stephan B.
    Stern, David I.
    EMPIRICAL ECONOMICS, 2019, 56 (03) : 797 - 830
  • [29] Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
    Ghysels, Eric
    Hill, Jonathan B.
    Motegi, Kaiji
    JOURNAL OF ECONOMETRICS, 2020, 218 (02) : 633 - 654
  • [30] Imports and economic growth in Africa: Testing for granger causality in the frequency domain
    Aluko, Olufemi Adewale
    Adeyeye, Patrick Olufemi
    JOURNAL OF INTERNATIONAL TRADE & ECONOMIC DEVELOPMENT, 2020, 29 (07) : 850 - 864
12345