I have run a test for Granger non-causality in heterogeneous panels using the procedure proposed by Dumitrescu & Hurlin (Economic Modelling, 2012), which is available using the xtgcause Command. The test gives both the Z-bar and Z-bar tilde statistics, I was wondering which one of these I should report as they seem to indicate different results. All the P-values for the Z-bar statistic are 0.0000 whereas the P-values for the Z-bar tilde suggest that the null hypothesis should not be rejected. I have data from 8 time periods for 83 countries. I would appreciate some guidance on this issue. Thanks in advance.
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