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grangers implements estimation and inference for
Granger-causality spectra in the frequency domain.
The methodological reference is:
Farnè, M. and Montanari, A. (2022). A Bootstrap Method to Test Granger-Causality in the Frequency Domain. Computational Economics, 59, 935–966. doi:10.1007/s10614-021-10112-x.
Granger.unconditional() estimates the unconditional
spectrum.Granger.conditional() estimates the conditional
spectrum.Granger.inference.unconditional() performs bootstrap
inference for the unconditional spectrum.Granger.inference.conditional() performs bootstrap
inference for the conditional spectrum.Granger.inference.difference() performs bootstrap
inference for the difference between unconditional and conditional
spectra.bc_test_uncond() implements the unconditional
Breitung–Candelon test.bc_test_cond() implements the conditional
Breitung–Candelon test.The package contains euro_area_indicators, with
quarterly Euro Area indicators used in the empirical analysis.
install.packages("grangers")These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.