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

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

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

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

A service of the