Authors: Barbara Rossi and Yiru Wang
Stata Journal, Vol. 19, No 4, 883-899, December, 2019In this article, we review Granger causality tests that are 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.
This paper originally appeared as
Barcelona School of Economics Working Paper 1083