Decomposing Granger Causality over the Spectrum
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) di®erent Granger- causality relationships over di®erent time horizons. We illustrate the usefulness of the proposed approach in the context of the predictive value of European production expectation surveys.
|Keywords||Granger causality, business surveys, production expectations, spectral analysis|
Lemmens, A., Croux, C., & Dekimpe, M.G.. (2004). Decomposing Granger Causality over the Spectrum (No. ERS-2004-102-MKT). Retrieved from http://hdl.handle.net/1765/1814