Decomposing Granger Causality Over the Spectrum
Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Catholic University of Leuven (KUL) - Department of Applied Economics
M. G. Dekimpe
Catholic University of Leuven (KUL) - Department of Applied Economics; Erasmus Research Institute of Management (ERIM)
December 1, 2004
ERIM Report Series Reference No. ERS-2004-102-MKT
We develop a bivariate spectral Granger-causality test that can be applied at eachindividual frequency of the spectrum. The spectral approach to Granger causality hasthe distinct advantage that it allows to disentangle (potentially) di®erent Granger-causality relationships over di®erent time horizons. We illustrate the usefulness ofthe proposed approach in the context of the predictive value of European productionexpectation surveys.
Number of Pages in PDF File: 27
Keywords: business surveys, Granger causality, production expectations, spectral analysis
JEL Classification: M, M31, C53, C44working papers series
Date posted: December 27, 2010
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