时变格兰杰因果检验

IF 3.2 2区数学 Q1 SOCIAL SCIENCES, MATHEMATICAL METHODS

Stata Journal Pub Date : 2022-06-01 DOI:10.1177/1536867X221106403

Christopher F. Baum, S. Hurn, Jesús Otero

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引用次数: 9

摘要

格兰杰因果关系是应用宏观经济学中的一个重要工具。近年来，递归计量经济学方法被用于分析格兰杰因果关系的时间稳定性。本文提供了这些递归过程在Stata中的实现。一个实证例子说明了它们在分析美国主要宏观经济系列格兰杰因果关系的时间稳定性中的应用。

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Testing for time-varying Granger causality

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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来源期刊

Stata Journal 数学-统计学与概率论

CiteScore

7.80

自引率

4.20%

发文量

审稿时长

>12 weeks

期刊介绍： The Stata Journal is a quarterly publication containing articles about statistics, data analysis, teaching methods, and effective use of Stata''s language. The Stata Journal publishes reviewed papers together with shorter notes and comments, regular columns, book reviews, and other material of interest to researchers applying statistics in a variety of disciplines.