Vector autoregressive-based Granger causality test in the presence of instabilities

Authors: Barbara Rossi and Yiru Wang

Stata Journal, Vol. 19, No 4, 883-899, December, 2019

In this article, we review Granger causality tests that are robust to the presence of instabilities in a vector autoregressive framework. We also introduce the gcrobustvar command, which illustrates the procedure in Stata. In the presence of instabilities, the Granger causality robust test is more powerful than the traditional Granger causality test.

This paper originally appeared as Barcelona GSE Working Paper 1083