Testing for Granger causality in heterogeneous mixed panels

Emirmahmutoglu F., Köse N.

ECONOMIC MODELLING, cilt.28, sa.3, ss.870-876, 2011 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 28 Sayı: 3
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1016/j.econmod.2010.10.018
  • Dergi Adı: ECONOMIC MODELLING
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI)
  • Sayfa Sayıları: ss.870-876
  • Anahtar Kelimeler: Granger causality, Meta analysis, Mixed panels, Cross-sectional dependency, UNIT-ROOT TESTS, VECTOR AUTOREGRESSIONS, STATISTICAL-INFERENCE, ECONOMIC-GROWTH, TIME-SERIES, MODELS, SPECIFICATION, REGRESSIONS, EXPORTS
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır

Özet

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. (C) 2010 Elsevier B.V. All rights reserved.