Testing for spectral Granger causality
Tastan, Hüseyin
2015

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Abstract

In this article, I introduce a command (bcgcausality) to implement Breitung and Candelon's (2006, Journal of Econometrics, 132: 363–378) Granger causality test in the frequency domain.

Details

Title
Testing for spectral Granger causality
Keywords
Author(s)
Tastan, Hüseyin
Subject(s)
Issue Date
2015
Publication Type
Journal Article
DOI and Other Identifiers
10.22004/ag.econ.281332
Record Identifier
https://ageconsearch.umn.edu/record/281332
ISSN
1536-8634
Language
English
Published in
Stata Journal
Volume
15
Issue
4
Page Range
1157 - 1166
Record Appears in
Stata Journal

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