Testing for short- and long-run causality: a frequency-domain approach

DOI10.1016/j.jeconom.2005.02.004zbMath1337.62348OpenAlexW1991004523MaRDI QIDQ291704

Jörg Breitung, Bertrand Candelon

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.02.004

zbMATH Keywords

causalityinterest ratesspectral analysisoutput predictability

Mathematics Subject Classification ID

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

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