Testing for time-varying Granger causality

被引：21
|
作者：
Baum, Christopher F. [1 ]
Hurn, Stan [2 ]
Otero, Jesus [3 ]
机构：
[1] Boston Coll, Dept Econ, Chestnut Hill, MA 02167 USA
[2] Queensland Univ Technol, Sch Econ & Finance, Brisbane, Qld, Australia
[3] Univ Rosario, Fac Econ, Bogota, Colombia
来源：
STATA JOURNAL | 2022年 / 22卷 / 02期
关键词：
st0675; tvgc; Granger causality; time variation; temporal stability; datestamping; UNIT-ROOT; ECONOMIC-GROWTH; MONEY; EXUBERANCE; MODELS; SERIES; OIL;
D O I：
10.1177/1536867X221106403
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
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.
引用
收藏
页码：355 / 378
页数：24
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