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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 paper
Date
2001-07
Publisher
Université Paris-Dauphine
Series title
Cahiers de recherche d'EURISCO
Series number
2001-09
Published in
Paris
Pages
32
Metadata
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Author(s)
Venet, Baptiste
Hurlin, Christophe
Abstract (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; 1967-1998
JEL
C23 - Panel Data Models; Spatio-temporal Models
O16 - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
G18 - Government Policy and Regulation