Decomposing Granger Causality over the Spectrum
AbstractWe 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) diÂ®erent Granger-causality relationships over diÂ®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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Bibliographic InfoPaper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2004-102-MKT.
Date of creation: 01 Dec 2004
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business surveys; production expectations; Granger causality; spectral analysis;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-12 (All new papers)
- NEP-ECM-2004-12-12 (Econometrics)
- NEP-ETS-2004-12-12 (Econometric Time Series)
- NEP-LTV-2004-12-12 (Unemployment, Inequality & Poverty)
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