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

Producción científica: Contribución a revista › Artículo de Investigación › revisión exhaustiva

52 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	355-378
Número de páginas	24
Publicación	Stata Journal
Volumen	22
N.º	2
DOI	https://doi.org/10.1177/1536867X221106403
Estado	Publicada - jun. 30 2022

ODS de las Naciones Unidas

Este resultado contribuye a los siguientes Objetivos de Desarrollo Sostenible

ODS 12: Producción y consumo responsables

Áreas temáticas de ASJC Scopus

Economía y econometría
Estadística y probabilidad

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title = "Testing for time-varying Granger causality",

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.",

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AU - Otero, Jesús

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AB - 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.

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UR - https://www.scopus.com/pages/publications/85133449745#tab=citedBy

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M3 - Research Article

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Testing for time-varying Granger causality

Resumen

ODS de las Naciones Unidas

Áreas temáticas de ASJC Scopus

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