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Testing for spectral Granger causality

Stata Journal (2015) 15(4) 1157-1166
DOI: 10.1177/1536867x1501500411
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Abstract

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.

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Tastan, H. (2015). Testing for spectral Granger causality. Stata Journal, 15(4), 1157–1166. https://doi.org/10.1177/1536867x1501500411

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