Un test simple de l'hypothèse de non-causalité dans un modèle de panel hétérogène
This paper proposes a simple test of Granger [1969] non causality hypothesis in heterogeneous panel data models with fixed coefficients. It proposes a statistic of test based on averaging standard individual Wald statistics of Granger non causality tests. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, for a fixed T sample the semi-asymptotic distribution of the average statistic is characterized and a standardized statistic based on general approximations of the moments of individual Wald statistics is proposed. Monte Carlo experiments show that both statistics provide good small sample properties.
Year of publication: |
2005
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Authors: | Hurlin, Christophe |
Published in: |
Revue économique. - Presses de Sciences-Po. - Vol. 56.2005, 3, p. 799-809
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Publisher: |
Presses de Sciences-Po |
Saved in:
freely available
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