Testing Granger causality in Heterogeneous Panel Data Models with Fixed Coefficients

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A Panel Data Approach for Income-Health Causality (2004, unknown): “On the other hand, the ML estimators for dynamic fixed effects models remains biased with the introduction of exogenous variables when T is small (Hurlin and Venet, 2001). Moreover, Kiviet (1995) also provides an analytical expression for this bias. However, Nickell (1981) demonstrates a fall in the”
Regional aviation and economic growth : cointegration and causality analysis in Australia (2015, background): “Hurlin (2004) suggested that the requirement, Ti > 5 + 2K (Ti: time spans for airport i, K: lag length) should be met.”
Granger-Causality between Transportation and GDP: A Panel Data Approach (2014, methodology): “This test allows us to take into account both dimensions of the heterogeneity in this context: the heterogeneity of the causal relationships and the heterogeneity of the data generating process (Hurlin 2004a).”
Effects of fiscal deficit and money M2 supply on inflation: Evidence from selected economies of Asia (2015, unknown): “In addition, based on the information criterions BIC and AIC, the study uses lag orders K = 2 identical for all cross-units, respecting the condition T > 5 + 2 K, which is important to guarantee the validity of the proposed tests, even with shot T samples (see Hurlin, 2004).”