Testing for spectral Granger causality


STATA JOURNAL, vol.15, no.4, pp.1157-1166, 2015 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 15 Issue: 4
  • Publication Date: 2015
  • Doi Number: 10.1177/1536867x1501500411
  • Journal Name: STATA JOURNAL
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.1157-1166
  • Keywords: st0417, bcgcausality, Granger causality, Geweke measure, VAR, LINEAR-DEPENDENCE, TIME-SERIES, FEEDBACK
  • Yıldız Technical University Affiliated: Yes


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.