PANELCAUSE.RPF is an example of a test for (Granger) causality in a panel data set allowing for heterogeneity in the coefficients and variances.
Detailed description
PANELCAUSE.RPF—Granger causality in panel data
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TomDoan
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Ozmando
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Re: PANELCAUSE.RPF—Granger causality in panel data
TomDoan wrote:PANELCAUSE.RPF does a test for Granger causality in a heterogeneous panel.
Detailed description
Hi,
Is this test applicable if one want to check for long run causality? please?
Thanks,
oz
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: PANELCAUSE.RPF—Granger causality in panel data
No. Long-run causality is a test just on the loadings in a VECM. This is a test on all lags in a VAR.
Last bumped by TomDoan on Tue Dec 03, 2024 4:49 pm.