Testing Granger Non-Causality in Panels with Cross-Sectional Dependencies

This paper proposes a new approach for testing Granger non-causality on panel data. Instead of aggregating panel member statistics, we aggregate their corresponding p-values and show that the resulting p-value approximately bounds the type I error by the chosen significance level even if the panel m...

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Veröffentlicht in:	arXiv.org 2022-02
Hauptverfasser:	Lenon Minorics, Turkmen, Caner, Kernert, David, Bloebaum, Patrick, Callot, Laurent, Janzing, Dominik
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Causality Fatalities Panels
Online-Zugang:	Volltext
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