
Granger Causality Tests in Panel Data Models with Fixed Coefficients
Venet, Baptiste; Hurlin, Christophe (2001-07), Granger Causality Tests in Panel Data Models with Fixed Coefficients. https://basepub.dauphine.fr/handle/123456789/6159
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Type
Document de travail / Working paperDate
2001-07Publisher
Université Paris-Dauphine
Series title
Cahiers de recherche d'EURISCOSeries number
2001-09Published in
Paris
Pages
32
Metadata
Show full item recordAbstract (EN)
This paper proposes an extension of the Granger (1969) causality definition to panel data models with fixed coefficients. Given the heterogeneity of the data generating process, four definitions of causality relationships are proposed. A procedure of nested tests is then defined and a particular attention is done to finite sample properties of these tests. Finally, an application to the link between financial deepening and economic growth is proposed with a panel of sixteen sub-Saharan countries over the period 1967-1998.Subjects / Keywords
sub-Saharan countries; Granger Causality Tests; economic growth; Financial deepening; 1967-1998Related items
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