A Simple Test for Dynamic Causality in Panel Data

A new panel data test for Granger causality is presented that can be applied to panels with more time series observations than cross-sections. Inconsistency in these models with lagged dependent variables and fixed effects is avoided by differencing and pooling the data. The joint significance tests are also non-standard. The result is a set of homogeneous coefficients, which compare favorably to results from seemingly unrelated regressions under common conditions

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Year of publication:	2015
Authors:	Schimmelpfennig, David ; Thirtle, Colin
Publisher:	[S.l.] : SSRN
Subject:	Panel \| Panel study \| Kausalanalyse \| Causality analysis \| Schätztheorie \| Estimation theory \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Empirical Economics Letters, Vol. 2, No. 6, pp. 209-215, November 2003 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 18, 2003 erstellt
Classification:	C33 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014183231