XTGRANGER: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data

xtgranger performs the Half-Panel Jackknife (HPJ) Wald-type test for Granger non-causality, developed by Juodis, Karavias, and Sarafidis (Empirical Economics, 2021). This test offers superior size and power performance, which stems from the use of a pooled estimator with a (NT)^(1/2) rate of convergence. The test has two other useful properties; it can be used in multivariate systems and it has power against both homogeneous as well as heterogeneous alternatives. The command also reports results for the HPJ estimator.