Browsing BI Open by Author "Xiao, Jiaqi"

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    • Improved tests for Granger noncausality in panel data 

      Xiao, Jiaqi; Karavias, Yiannis; Juodis, Artūras; Sarafidis, Vasilis; Ditzen, Jan (Peer reviewed; Journal article, 2023)
      In this article, we introduce the xtgrangert command, which implements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers ...