Testing for spectral Granger causality

被引：39
|
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
收藏
页码：1157 / 1166
页数：10
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