{"title":"时变格兰杰因果检验","authors":"Christopher F. Baum, S. Hurn, Jesús Otero","doi":"10.1177/1536867X221106403","DOIUrl":null,"url":null,"abstract":"The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.","PeriodicalId":51171,"journal":{"name":"Stata Journal","volume":null,"pages":null},"PeriodicalIF":3.2000,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"Testing for time-varying Granger causality\",\"authors\":\"Christopher F. Baum, S. Hurn, Jesús Otero\",\"doi\":\"10.1177/1536867X221106403\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.\",\"PeriodicalId\":51171,\"journal\":{\"name\":\"Stata Journal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2022-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Stata Journal\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1177/1536867X221106403\",\"RegionNum\":2,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"SOCIAL SCIENCES, MATHEMATICAL METHODS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stata Journal","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1177/1536867X221106403","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"SOCIAL SCIENCES, MATHEMATICAL METHODS","Score":null,"Total":0}
The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.
期刊介绍：
The Stata Journal is a quarterly publication containing articles about statistics, data analysis, teaching methods, and effective use of Stata''s language. The Stata Journal publishes reviewed papers together with shorter notes and comments, regular columns, book reviews, and other material of interest to researchers applying statistics in a variety of disciplines.
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