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 | |
| State | Published - Jun 30 2022 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
-
SDG 12 Responsible Consumption and Production
All Science Journal Classification (ASJC) codes
- Economics and Econometrics
- Statistics and Probability
Fingerprint
Dive into the research topics of 'Testing for time-varying Granger causality'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver