Rolling window granger causality or time varying granger causality

[Pita Fouta]

Hi everyone,

I wanted to know if someone would know how to implement a rolling window granger causality or a time-varying granger causality on Stata?

I searched for a long time on the internet and on the forums and I didn't find anything except an add-in named roll in in Eviews. I also found the command asreg on Stata but I don't think it applies to a granger causality test.

I would like to study a granger causality for different periods. If I do a simple granger causality month by month, it will take me a long time.

I have already done granger causality on the whole sample (with the code: vargranger) but I would like to do it on sub-samples.


NB: Asreg: https://www.statalist.org/forums/for...-rolling-betas

Thanks in advance if you know the answer.

Pita

[Justin Niakamal]

See tvgc from ssc

ssc describe tvgc

TITLE
      'TVGC': module to perform Time-Varying Granger Causality tests

DESCRIPTION/AUTHOR(S)
      
      tvgc implements the VAR-based time-varying Granger
      causality tests proposed by Shi, Phillips and Hurn (J. Time
      Series Anal., 2018). These are    sequences of Wald statistics
      based on forward recursive estimation, rolling estimation, and
      recursive evolving estimation.    The command also supports
      estimation of these three sequences of Wald statistics in the
      context of a Lag-Augmented VAR    (LA-VAR) model, as recommended
      to allow for the possibility of integrated variables; see Shi,
      Hurn, Phillips (J. Fin. Econometrics, 2020) and the  references
      therein.  tvgc computes 90th, 95th, and 99th percentile bootstrap
      critical values following the bootstrap scheme advocated by Shi
      et al. (2018, 2020).
      
      KW: Granger causality
      KW: rolling window
      KW: Phillips
      KW: Shi
      KW: Hurn
      
      Requires: Stata version 13 and moremata from SSC (q.v.)
      
      Distribution-Date: 20210301
      
      Author: Jesús Otero, Universidad del Rosario
      Support: email [email protected]
      
      Author: Christopher F Baum, Boston College
      Support: email [email protected]
      
      Author: Stan Hurn, Queensland University of Technology
      Support: email [email protected]

[Pita Fouta]

Hi Justin,

Thank you for your answer. I knew about this command. However, on the internet, we don't have any code examples to implement it in a practical way. We only have articles and studies about it without practical examples.

Would you know how to implement it on stata?

Thank you in advance.

Pita