Testing for spectral Granger causality


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

  • Publication Type: Article / Article
  • Volume: 15 Issue: 4
  • Publication Date: 2015
  • Doi Number: 10.1177/1536867x1501500411
  • Title of Journal : STATA JOURNAL
  • Page Numbers: pp.1157-1166


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.