Testing for spectral Granger causality

Huseyin Tastan

Stata Journal, 2015, vol. 15, issue 4, 1157-1166

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. Copyright 2015 by StataCorp LP.

Keywords: bcgcausality; Granger causality; Geweke measure; VAR (search for similar items in EconPapers)
Date: 2015
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