caustests
Comprehensive suite of Granger causality tests for time series and panel data. For time series: Toda-Yamamoto (1995) <doi:10.1016/0304-4076(94)01616-8>, Fourier-based tests with single frequency (Enders and Jones, 2016) <doi:10.1515/snde-2014-0101> and cumulative frequencies (Nazlioglu et al., 2019) <doi:10.1080/1540496X.2018.1434072>, quantile causality tests (Cai et al., 2023) <doi:10.1016/j.frl.2023.104327>, and Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021) <doi:10.1007/s12076-020-00263-0>. For panel data: Panel Fourier Toda-Yamamoto (Yilanci and Gorus, 2020) <doi:10.1007/s11356-020-10092-9> and Panel Quantile Causality tests (Wang and Nguyen, 2022) <doi:10.1080/1331677X.2021.1948436>, as well as Group-Mean and Pooled Fully Modified OLS estimators for panel cointegrating polynomial regressions (Wagner and Reichold, 2023) <doi:10.1080/07474938.2023.2178141>. All tests include bootstrap inference for robust p-values.
- Can precious metals hedge the risks of Sino–US political relation?–Evidence from Toda–Yamamoto causality test in quantiles
- Does economic globalization have predictive power for ecological footprint in MENA counties? A panel causality test with a Fourier function
- Grain prices, oil prices, and multiple smooth breaks in a VAR
- Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages
- Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
- Quantile panel-type analysis for income inequality and healthcare expenditure
- Statistical inference in vector autoregressions with possibly integrated processes
- Urbanization, coal consumption and CO2 emissions nexus in China using bootstrap Fourier Granger causality test in quantiles
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