Testing for time-varying Granger causality

Christopher F. Baum, Stan Hurn, Jesús Otero

Research output: Contribution to journalArticlepeer-review

15 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)355-378
Number of pages24
JournalStata Journal
Issue number2
StatePublished - Jun 30 2022

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Statistics and Probability


Dive into the research topics of 'Testing for time-varying Granger causality'. Together they form a unique fingerprint.

Cite this