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Robust variance for Dumitrescu Hurlin causality test?
Posted: Tue Jan 09, 2018 7:17 am
by Mateus
Hi There,
Are robust variances used in order to derive the Wald statistics used in the Dumitrescu Hurlin causality test?
Thanks.
Re: Robust variance for Dumitrescu Hurlin causality test?
Posted: Wed Jan 10, 2018 4:34 pm
by Mateus
What I mean is: does Eviews use robust variance to calculate Dumitrescu Hurlin causality test?
Re: Robust variance for Dumitrescu Hurlin causality test?
Posted: Wed Jan 10, 2018 6:06 pm
by EViews Gareth
No.
Re: Robust variance for Dumitrescu Hurlin causality test?
Posted: Thu Jan 11, 2018 7:26 am
by Mateus
And for the standard Granger non-causality test for panels, do you use robust SEs?
Re: Robust variance for Dumitrescu Hurlin causality test?
Posted: Thu Jan 11, 2018 7:35 am
by EViews Gareth
No.