Decomposing Granger Causality Over the Spectrum

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

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Year of publication:	2011
Authors:	Lemmens, Aurelie
Other Persons:	Croux, Christophe (contributor) ; Dekimpe, M. G. (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Kausalanalyse \| Causality analysis \| Dekompositionsverfahren \| Decomposition method \| Frühindikator \| Leading indicator

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2004 erstellt
Classification:	M31 - Marketing ; C53 - Forecasting and Other Model Applications ; C44 - Statistical Decision Theory; Operations Research
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013132020