Testing for Granger Non-causality in Heterogeneous Panels

By Dumitrescu Elena-Ivona and Hurlin Christophe
Economic Modelling (2012)

DESCRIPTION

This code computes the Wbar and Zbar test statistics of the Homogenous Non Causality (HNC) hypothesis. Under the null hypothesis of Homogenous Non Causality (HNC) hypothesis, there is no causal relationship for all the cross-units of the panel. Under the alternative, there is a causal relationship from X to Y at least for one cross-unit. In this version of the code, the panel must be balanced (a future version of the website will allow for unbalanced panel). The Wbar statistic corresponds to the cross sectional average of the N standard individual Wald statistics of Granger non causality tests. The Zbar statistic corresponds to the standardized statistic (for fixed T sample).