Resumen de Improved tests for Granger noncausality in panel data

Jiaqi Xiao, Artūras Juodis, Yiannis Karavias, Vasilis Sarafidis, Jan Ditzen

• In this article, we introduce the xtgrangert command, which im- plements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers superior size and power performance to existing tests, which stem from the use of a pooled estimator that has a faster √N T convergence rate. The test has several other useful properties: it can be used in multivariate systems; it has power against both homogeneous and heterogeneous alternatives; and it allows for cross-section dependence and cross-section heteroskedasticity.