Abstract
In this article, we review Granger-causality tests robust to the presence of instabilities in a Vector Autoregressive framework. We also introduce the gcrobustvar command, which illustrates the procedure in Stata. In the presence of instabilities, the Granger-causality robust test is more powerful than the traditional Granger-causality test.
Published as:
Vector autoregressive-based Granger causality test in the presence of instabilities
in Stata Journal
December, 2019