Testing for Granger Causalityin Heterogeneous Mixed Panels

This paper proposes a simpleprocedure based on Meta-analysisto test Granger causality relationship betweenvariables in heterogeneous mixed panels.We evaluate the finite sample properties of the causality test based on Meta-analysisthrough Monte Carlo experiments for panels characterized by both cross section independency and cross section dependency. Finally, the procedure is applied to test Granger causality between export and growth in a panel data of twenty OECD countries over the quarterly periods from 1987 to 2006