grangers (Q144941)
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Inference on Granger-Causality in the Frequency Domain
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | grangers |
Inference on Granger-Causality in the Frequency Domain |
Statements
expanded from: GPL (≥ 2) (English)
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4 August 2026
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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>.
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Angela Montanari
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