Decomposing Granger Causality over the Spectrum
December 2004
Research Paper
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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
Classifications using
Journal of Economic Literature (JEL) Classification System
- M31 : Marketing
- M : Business Administration and Business Economics; Marketing; Accounting
- C44 : Statistical Decision Theory; Operations Research
- C53 : Forecasting and Other Model Applications
Automatically Extracted Terms
- frequency
- series
- granger
- production
- country
- coefficient
- coherence
- survey
- 1.0
- 0.0
- relationship
- causality
- granger causality
- account
- expectation
- time series
- gc test
- time horizons
- business
- research
