改进面板数据格兰杰非因果检验

IF 3.2 2区数学 Q1 SOCIAL SCIENCES, MATHEMATICAL METHODS

Stata Journal Pub Date : 2023-03-01 DOI:10.1177/1536867X231162034

Jiâqi Xiao, Yiannis Karavias, Artūras Juodis, Vasilis Sarafidis, J. Ditzen

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引用次数: 10

摘要

在本文中，我们介绍了xtgrangert命令，它实现了Juodis、Karavias和Sarafidis开发的面板Granger非因果性测试方法（2021，实证经济学60:93-112）。与现有测试相比，该测试提供了优越的规模和功率性能，而现有测试源于使用了具有更快N T收敛速度的池估计器。该测试还有其他几个有用的特性：它可以用于多变量系统；它有能力对抗同质和异质的替代品；并且它允许截面依赖性和截面异方差。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Improved tests for Granger noncausality in panel data

In this article, we introduce the xtgrangert command, which implements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers superior size and power performance to existing tests, which stem from the use of a pooled estimator that has a faster N T convergence rate. The test has several other useful properties: it can be used in multivariate systems; it has power against both homogeneous and heterogeneous alternatives; and it allows for cross-section dependence and cross-section heteroskedasticity.

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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.