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The Stata Journal
Volume 23 Number 1: pp. 230-242

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Improved tests for Granger noncausality in panel data

Jiaqi Xiao
University of Birmingham
Birmingham, U.K.
[email protected]
 Art=uras Juodis
University of Amsterdam
Amsterdam, The Netherlands
[email protected]
Yiannis Karavias
University of Birmingham
Birmingham, U.K.
[email protected]
 Vasilis Sarafidis
BI Norwegian Business School
Oslo, Norway
[email protected]
Jan Ditzen
Free University of Bozen-Bolzano
Bozen, Italy
[email protected]
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View all articles by these authors: Jiaqi Xiao, Art=uras Juodis, Yiannis Karavias, Vasilis Sarafidis, Jan Ditzen

View all articles with these keywords: xtgrangert, xtgrangert postestimation, panel data, Granger causality, Nickell bias, heterogeneous panels, half-panel jackknife, cross-section dependence

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