Granger Causality Tests in Panel Data Models with Fixed Coefficients

Venet, Baptiste; Hurlin, Christophe

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

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