VAR-Based Granger-Causality Test in the Presence of Instabilities


In this article, we review Granger-causality tests 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.

Published as: Vector autoregressive-based Granger causality test in the presence of instabilities in Stata Journal , Vol. 19, No. 4, 883-899, December, 2019