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The Stata Journal
Volume 19 Number 4: pp. 883-899

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Vector autoregressive-based Granger causality test in the presence of instabilities

Barbara Rossi
University of Pompeu Fabra,
Barcelona Graduate School of Economics, and
CREI
Barcelona, Spain
[email protected]
 Yiru Wang
University Pompeu Fabra
Barcelona, Spain
[email protected]
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View all articles with these keywords: gcrobustvar, Granger causality, vector autoregressive, VAR, instability, structural breaks, local projections

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