Testing for time-varying Granger causality

Christopher F. Baum; Stan Hurn; Jesús Otero

doi:10.1177/1536867X221106403

Testing for time-varying Granger causality

Christopher F. Baum, Stan Hurn, Jesús Otero

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

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.

Original language	English (US)
Pages (from-to)	355-378
Number of pages	24
Journal	Stata Journal
Volume	22
Issue number	2
DOIs	https://doi.org/10.1177/1536867X221106403
State	Published - Jun 30 2022

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Statistics and Probability

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1177/1536867X221106403

Cite this

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Testing for time-varying Granger causality

Abstract

All Science Journal Classification (ASJC) codes

UN SDGs

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