A Simple Test for Dynamic Causality in Panel Data
Empirical Economics Letters, Vol. 2, No. 6, pp. 209-215, November 2003
7 Pages Posted: 18 Apr 2011 Last revised: 17 Nov 2015
Date Written: April 18, 2003
Abstract
A new panel data test for Granger causality is presented that can be applied to panels with more time series observations than cross-sections. Inconsistency in these models with lagged dependent variables and fixed effects is avoided by differencing and pooling the data. The joint significance tests are also non-standard. The result is a set of homogeneous coefficients, which compare favorably to results from seemingly unrelated regressions under common conditions.
Keywords: Panel Causality, Two-Stage Least Squares
JEL Classification: C33
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Intertemporal Labor Supply: An Assessment
By David Card
-
Do Workers Work More If Wages are High? Evidence from a Randomized Field Experiment
By Ernst Fehr and Lorenz Goette
-
Intertemporal Substitution in Macroeconomics
By N. Gregory Mankiw, Julio J. Rotemberg, ...
-
Labor Supply Preferences, Hours Constraints, and Hours-Wage Tradeoffs
-
Is Tomorrow Another Day? The Labor Supply of New York Cab Drivers
-
The Pricing of Job Characteristics When Markets Do Not Clear: Theory and Implications
By Kevin Lang and Sumon Majumdar