Testing for time-varying Granger causality-Reference-Cited by-同舟云学术

Testing for time-varying Granger causality

Published:2022-06 Issue:2 Volume:22 Page:355-378
ISSN:1536-867X
Container-title:The Stata Journal: Promoting communications on statistics and Stata
language:en
Short-container-title:The Stata Journal

Author:

Baum Christopher F.¹^ORCID,Hurn Stan²^ORCID,Otero Jesús³^ORCID

Affiliation:

1. Department of Economics Boston College Chestnut Hill, ma

2. School of Economics and Finance Queensland University of Technology Brisbane, Australia

3. Facultad de Economía Universidad del Rosario Bogotá, Colombia

Abstract

The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.

Publisher

SAGE Publications

Subject

Mathematics (miscellaneous)

Link

http://journals.sagepub.com/doi/pdf/10.1177/1536867X221106403

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