grangers

Authors Matteo Farne', Angela Montanari

Last update 4 August 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.1.0, PACKAGES.rds, 0.1.1

Description

Implements unconditional and conditional Granger-causality spectra in the frequency domain, bootstrap inference for both spectra and their difference, and the Breitung-Candelon parametric tests. The bootstrap procedures follow Farnè and Montanari (2022) <doi:10.1007/s10614-021-10112-x>.

Cites work

A Bootstrap Method to Test Granger-Causality in the Frequency Domain

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