This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Decomposing Granger Causality over the Spectrum

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Lemmens, A.
Croux, C.
Dekimpe, M.G. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)

Additional information is available for the following registered author(s):

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) 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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/1765/1814
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper 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 Revision_Date: 2009-07-29.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 01 Dec 2004
Date of revision:
Handle: RePEc:dgr:eureri:30001959

Contact details of provider:
Web page: http://www.erim.eur.nl/

For technical questions regarding this item, or to correct its listing, contact: (ERIM Series Handler at the ERIM Office).

Related research
Keywords: business surveys; Granger causality; production expectations; spectral analysis;

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bahmani-Oskooee, Mohsen & Niroomand, Farhang, 1999. "Openness and Economic Growth: An Empirical Investigation," Applied Economics Letters, Taylor and Francis Journals, vol. 6(9), pages 557-61, September. [Downloadable!] (restricted)
  2. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2004. "On The Predictive Content Of Production Surveys: A Pan-European Study," Research Paper ERS-2004-017-MKT Revision, 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 Uni. [Downloadable!]
    Other versions:
  3. Cheung, Yin-Wong & Fujii, Eiji, 2001. " A Note on the Power of Money-Output Causality Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(2), pages 247-61, May. [Downloadable!] (restricted)
  4. Woitek, Ulrich, 2003. "Height cycles in the 18th and 19th centuries," Economics and Human Biology, Elsevier, vol. 1(2), pages 243-257, June. [Downloadable!] (restricted)
  5. Zellner, Arnold, 1979. "Causality and econometrics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 9-54, January. [Downloadable!] (restricted)
  6. Yousif Khalifa Al-Yousif, 2002. "Defense Spending and Economic Growth: Some Empirical Evidence from the Arab Gulf Region," Defence and Peace Economics, Taylor and Francis Journals, vol. 13(3), pages 187-197, January. [Downloadable!] (restricted)
  7. Park, Jinwoo & Shenoy, Catherine, 2002. "An examination of the dynamic behavior of aggregate bond and stock issues," International Review of Economics & Finance, Elsevier, vol. 11(2), pages 175-189, May. [Downloadable!] (restricted)
  8. Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February. [Downloadable!] (restricted)
  9. Roelf Bult, Jan & Leeflang, Peter S. H. & Wittink, Dick R., 1997. "The relative performance of bivariate causality tests in small samples," European Journal of Operational Research, Elsevier, vol. 97(3), pages 450-464, March. [Downloadable!] (restricted)
  10. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September. [Downloadable!] (restricted)
  11. Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Koen Pauwels & Imran Currim & Marnik Dekimpe & Dominique Hanssens & Natalie Mizik & Eric Ghysels & Prasad Naik, 2004. "Modeling Marketing Dynamics by Time Series Econometrics," Marketing Letters, Springer, vol. 15(4), pages 167-183, December. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? Apart from a small start up grant in the 1990's, RePEc has received no funding and lives on the help of volunteers.

This page was last updated on 2009-11-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.