Testing for Granger causality in heterogeneous mixed panels
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.
Year of publication: |
2011
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Authors: | Emirmahmutoglu, Furkan ; Kose, Nezir |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 28.2011, 3, p. 870-876
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Publisher: |
Elsevier |
Keywords: | Granger causality Meta analysis Mixed panels Cross-sectional dependency |
Saved in:
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