Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/191498
Year of Publication: 
2017
Series/Report no.: 
IRENE Working Paper No. 17-03
Publisher: 
University of Neuchâtel, Institute of Economic Research (IRENE), Neuchâtel
Abstract: 
With the development of large and long panel databases, the theory surrounding panel causality evolves at a fast pace and empirical researchers may sometimes find it difficult to run the most recent techniques developed in the literature. This article presents the Stata user-written command xtgcause, which implements a procedure proposed by Dumitrescu & Hurlin (2012) for detecting Granger causality in panel datasets, and thus constitutes an effort to help practitioners understand and apply the test. The command offers the possibility to select the number of lags to include in the model by minimizing the AIC, BIC, or HQIC, and to implement a bootstrap procedure to compute p-values and critical values.
Subjects: 
Stata
Granger causality
panel datasets
bootstrap
JEL: 
C23
C87
Document Type: 
Working Paper

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