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Amin Haghnejad's Projects

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This repository contains the Matlab code for implementing the bootstrap panel Granger causality procedure proposed by Kónya (Kónya, L. Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978-992, 2006), which is based on the seemingly unrelated regressions (SUR) systems and the Wald tests with individual-specific bootstrap critical values, and accounts for both cross-sectional error dependence and slope heterogeneity across individual units.

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This repository contains the Matlab code for performing the cross-sectional error dependence tests in panel data models, including the Lagrange multiplier (LM) test by Breusch and Pagan (1980), the cross-sectional dependence (CD) and scaled LM (CD_LM) tests by Pesaran (2004, 2015), the bias‐adjusted LM test by Pesaran, Ullah, and Yamagata (2008), and the bias-corrected scaled LM test by Baltagi, Feng, and Kao (2012).

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This repository contains the Matlab code for performing the slope homogeneity tests in panel data models, including the Swamy’s test by Swamy (1970) and the Delta tests by Pesaran and Yamagata (2008).

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