Testing for Granger causality in heterogeneous mixed panels


Emirmahmutoglu F., Kose N.

ECONOMIC MODELLING, vol.28, no.3, pp.870-876, 2011 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 28 Issue: 3
  • Publication Date: 2011
  • Doi Number: 10.1016/j.econmod.2010.10.018
  • Journal Name: ECONOMIC MODELLING
  • Journal Indexes: Social Sciences Citation Index, Scopus
  • Page Numbers: pp.870-876
  • Keywords: Granger causality, Meta analysis, Mixed panels, Cross-sectional dependency, UNIT-ROOT TESTS, VECTOR AUTOREGRESSIONS, STATISTICAL-INFERENCE, ECONOMIC-GROWTH, TIME-SERIES, MODELS, SPECIFICATION, REGRESSIONS, EXPORTS

Abstract

In this paper, we propose a simple Granger causality procedure based on Meta analysis in heterogeneous mixed panels. Firstly, we examine the finite sample properties of the causality test through Monte Carlo experiments for panels characterized by both cross-section independency and cross-section dependency. Then, we apply the procedure for investigating the export led growth hypothesis in a panel data of twenty OECD countries. (C) 2010 Elsevier B.V. All rights reserved.