Symbolic transfer entropy test for causality in longitudinal data

Camacho, Maximo; Romeu, Andres; Ruiz, Manuel

Publication:
Symbolic transfer entropy test for causality in longitudinal data

dc.contributor.author	Camacho, Maximo
dc.contributor.author	Romeu, Andres
dc.contributor.author	Ruiz, Manuel
dc.contributor.department	Métodos Cuantitativos para la Economía y la Empresa
dc.date.accessioned	2024-01-10T12:48:52Z
dc.date.available	2024-01-10T12:48:52Z
dc.date.issued	2021-01
dc.description	© 2020 Elsevier B.V.. This document is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is the accepted version of a published work that appeared in final form in Economic Modelling.	es
dc.description.abstract	In this study, we use multiple-unit symbolic dynamics and transfer entropy to develop a non-parametric Granger causality test procedure for longitudinal data. Monte Carlo simulations show that our test exhibits the correct size and a high power in situations where linear panel data causality tests fail, such as (1) when the linearity assumption does not hold, (2) when the data generating process is heterogeneous across the cross-section units or presents structural breaks, (3) when there are extreme observations in some of the cross-section units, (4) when the process exhibits causal dependence on the conditional variance, or (5) when the analysis involves qualitative data. We illustrate the usefulness of our proposed procedure by analyzing the dynamic causal relationships between public expenditure and GDP, between firm productivity and firm size in US manufacturing sectors, and among sovereign credit ratings, growth, and interest rates.	es
dc.format	application/pdf	es
dc.format.extent	28	es
dc.identifier.citation	Economic Modelling; Volume 94, January 2021, Pages 649-661
dc.identifier.doi	https://doi.org/10.1016/j.econmod.2020.02.007
dc.identifier.issn	1873-6122
dc.identifier.uri	http://hdl.handle.net/10201/137112
dc.language	eng	es
dc.relation	ECO2016-76178-P; ECO2015-65637-P; 19884/GERM/15	es
dc.relation.publisherversion	https://www.sciencedirect.com/science/article/pii/S0264999319301683	es
dc.rights	info:eu-repo/semantics/openAccess	es
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internacional	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Transfer entropy test	es
dc.subject	Longitudinal dynamic data	es
dc.subject	Causality test	es
dc.subject.other	CDU::3 - Ciencias sociales	es
dc.title	Symbolic transfer entropy test for causality in longitudinal data	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es