Some Theoretical and Simulation Results on the Frequency Domain Causality Test

Hiroshi Yamada and Wei Yanfeng

Econometric Reviews, 2014, vol. 33, issue 8, 936-947

Abstract: Breitung and Candelon (2006) in Journal of Econometrics proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the noncausality hypothesis is tested at a frequency close to 0 or pi. This paper examines whether or not these results indicate their procedure is useless at such frequencies.

Date: 2014
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DOI: 10.1080/07474938.2013.808488

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