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PANELCAUSE.RPF—Granger causality in panel data
Posted: Sun Apr 30, 2017 7:57 pm
by TomDoan
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
Re: PANELCAUSE.RPF—Granger causality in panel data
Posted: Sun Jul 23, 2017 9:15 am
by Ozmando
Hi,
Is this test applicable if one want to check for long run causality? please?
Thanks,
oz
Re: PANELCAUSE.RPF—Granger causality in panel data
Posted: Tue Dec 03, 2024 4:49 pm
by TomDoan
No.
Long-run causality is a test just on the loadings in a VECM. This is a test on all lags in a VAR.