THE GRANGER CAUSALITY TEST IN LINEAR DYNAMIC PANEL DATA MODELS
This article presents the features of the Granger causality test in panel data models. The features are caused by a dynamic specification of the dependent variable in the left hand side of the model and short T and large N. The paper includes some econometrics estimators for vector autoregressions based on panel-data and additional tests.
Andrei A. Sinyakov, post-graduate student of Saratov State SocioEconomical University