Tests Of Non-Causality In A Frequency Band

Sven Schreiber and Jörg Breitung ()

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: We extend the frequency-specific Granger-causality test of Breitung and Candelon (2006) to a more general null hypothesis that allows non-causality at unknown frequencies within an interval, instead of having to prespecify a single frequency. This setup corresponds better to most hypotheses that are typically analyzed in applied research and is easy to implement. We also discuss a test approach that departs from strict non-causality, given the impossibility of (non-trivial) non-causality over a continuum of frequencies. In an empirical application dealing with the dynamics of US temperatures and CO2 emissions we find that emissions cause temperature changes only at very low frequencies with more than 30 years of oscillation.

JEL-codes: C32 C53 Q54 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ecm, nep-env and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:113111

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