Testing for spectral Granger causality

被引：42

作者：

Tastan, Huseyin ^{[1
]}

机构：

[1] Yildiz Tekn Univ, Dept Econ, Econ & Econometr, Istanbul, Turkey

来源：

STATA JOURNAL | 2015年 / 15卷 / 04期

关键词：

st0417; bcgcausality; Granger causality; Geweke measure; VAR; LINEAR-DEPENDENCE; TIME-SERIES; FEEDBACK;

D O I：

10.1177/1536867X1501500411

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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.

引用

页码：1157 / 1166

页数：10

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