Some Theoretical and Simulation Results on the Frequency Domain Causality Test

DOI10.1080/07474938.2013.808488zbMath1491.62134OpenAlexW2013889130MaRDI QIDQ5080479

Wei Yanfeng, Hiroshi Yamada

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2013.808488

zbMATH Keywords

powerWald test statisticfrequency domain causality test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

A theoretical and simulation analysis on the power of the frequency domain causality test

Cites Work

• Testing for short- and long-run causality: a frequency-domain approach
• The decomposition and measurement of the interdependency between second- order stationary processes
• Measurement of Linear Dependence and Feedback Between Multiple Time Series

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