Testing for time-varying Granger causality

Christopher F. Baum, Stan Hurn, Jesús Otero

Research output: Contribution to journalArticlepeer-review

15 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 languageEnglish (US)
Pages (from-to)355-378
Number of pages24
JournalStata Journal
Volume22
Issue number2
DOIs
StatePublished - Jun 30 2022

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Statistics and Probability

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