Universität zu Köln

Breitung, Joerg and Schreiber, Sven (2018). Assessing causality and delay within a frequency band. Econom. Stat., 6. S. 57 - 74. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 2452-3062

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Abstract

The frequencyspecific Granger causality test is extended to a more general null hypothesis that allows causality testing at unknown frequencies within a prespecified range of frequencies. This setup corresponds better to empirical situations encountered in applied research and it is easily implemented in vector autoregressive models. Furthermore tools are provided to estimate and determine the sampling uncertainty of the phase shift/delay at some prespecified frequency or frequency band. In an empirical application dealing with the dynamics of CO2 emissions and US temperatures it is found that emissions cause temperature changes only at very low frequencies with more than 30 years of oscillation. In a business cycle application the causality and leading properties of new orders for German industrial production are analyzed at the interesting frequencies. (c) 2017 EcoSta Econometrics and Statistics. Published by Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Breitung, Joerg UNSPECIFIED UNSPECIFIED UNSPECIFIED Schreiber, Sven UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-190424
DOI:	10.1016/j.ecosta.2017.04.005
Journal or Publication Title:	Econom. Stat.
Volume:	6
Page Range:	S. 57 - 74
Date:	2018
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	2452-3062
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language TIME-SERIES; VECTOR AUTOREGRESSIONS; GRANGER CAUSALITY; MODELS; INFERENCE; PRICES Multiple languages Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/19042