Title: Decomposing Granger causality over the spectrum
Authors: Lemmens, AurĂ©lie
Croux, Christophe
Dekimpe, Marnik
Issue Date: 2004
Publisher: K.U.Leuven - Departement toegepaste economische wetenschappen
Series Title: DTEW Research Report 0454 pages:1-21
Abstract: We develop a bivariate spectral Granger-causality test that can be applied at each individual frequency of the spectrum. The spectral approach to Granger causality has the distinct advantage that it allows to disentangle (potentially) different Granger-causality relationships over different time horizons. We illustrate the usefulness of the proposed approach in the context of the predictive value of European production expectation surveys.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Centre for Marketing and Consumer Science, Leuven

Files in This Item:
File Status SizeFormat
OR_0454.pdf Published 580KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.