Dumitrescu, Elena-Ivona; Hurlin, Christophe - In: Economic Modelling 29 (2012) 4, pp. 1450-1460
This paper proposes a very simple test of Granger (1969) non-causality for heterogeneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a...