GRANGERSPEC: Stata module to conduct Granger causality tests across frequencies: Granger-causality spectra

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: grangerspec tests for Granger causality at different frequencies, so that Granger causality at low (business-cycle) and high frequencies can be distinguished. It estimates the Granger-causality spectrum, which shows how strongly one series helps predict another at each frequency, in unconditional form and conditional on a third variable, and tests its significance with the bootstrap method of Farne & Montanari (2022, Computational Economics). A further test shows whether the causality between the two series changes once the third variable is taken into account, and the parametric Breitung & Candelon (2006) F test is included as a complement.

Language: Stata
Requires: Stata version 14
Keywords: Granger causality; frequency domain; spectrum (search for similar items in EconPapers)
Date: 2026-08-05
Note: This module should be installed from within Stata by typing "ssc install grangerspec". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/g/grangerspec.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/grangerspec.sthlp help file (text/plain)

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