Spectral Granger Causality Test*
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Spectral Granger Causality Test*
This addin calculates a Spectral Granger Causality Test based on Breitung and Candelon (2006), the test decompose the causality relations in the spectrum of frequencies which can be attributed to short run and long run causality relations. You can find the addin help document and the example data attached.
Regards, Nicolas Ronderos Pulido
Regards, Nicolas Ronderos Pulido
 Attachments

 Spectral_Causality.pdf
 (242.88 KiB) Downloaded 1626 times

 examples.wf1
 (427.65 KiB) Downloaded 1297 times
Last edited by NicolasR on Fri Nov 03, 2017 10:35 am, edited 3 times in total.
Re: Spectral Granger Causality Test*
I am not familiar with the methodology, but as I understand it does not have any problem with nonstationarity unlike its traditional time series counterpart. If I am not mistaken, this is one of the main advantages of working in the frequency domain. In any case, thanks for the effort and sharing.
Re: Spectral Granger Causality Test*
Hi Trubador,
In the test you can apply the Toda and Yamamoto result. Nevertheless theoretically, to estimate a traditional spectrum conditions must be achived, some of them are related to a second order stationary process. By they way, great blog about your recent addin, seems to be a better strategy to comunicate an addin capabilities.
Best regards,
In the test you can apply the Toda and Yamamoto result. Nevertheless theoretically, to estimate a traditional spectrum conditions must be achived, some of them are related to a second order stationary process. By they way, great blog about your recent addin, seems to be a better strategy to comunicate an addin capabilities.
Best regards,
Re: Spectral Granger Causality Test*
thank you for this addin.
F statistic didnt reported in results? only omega and Pvalues will be saved?
F statistic didnt reported in results? only omega and Pvalues will be saved?
Re: Spectral Granger Causality Test*
Hi,
Yes, only the pvalues and the frequencys are saved. For what do you need the statistical?
Regards,
Yes, only the pvalues and the frequencys are saved. For what do you need the statistical?
Regards,
Re: Spectral Granger Causality Test*
Thanks for the addin. I occasionally get an error as attached. Any ideas why?
C.
C.
Re: Spectral Granger Causality Test*
Hi,
Because the test is based in two linear restrictions and you can not perfom a Wald (or an F) test if the number of restriccions in greater than the number of parameters, and since you are testing if the past of one variable (all its lags) at some frequency Grangercause another variable 2>p where p is the lag order of the VAR(p). Suggestion: try with AIC criteria.
Best regards,
Because the test is based in two linear restrictions and you can not perfom a Wald (or an F) test if the number of restriccions in greater than the number of parameters, and since you are testing if the past of one variable (all its lags) at some frequency Grangercause another variable 2>p where p is the lag order of the VAR(p). Suggestion: try with AIC criteria.
Best regards,

 Posts: 3
 Joined: Fri Nov 04, 2016 12:45 pm
Re: Spectral Granger Causality Test*
Hi,
I seem to be having a similar issue with the VAR Test error message. I'm not sure what I'm doing wrong since I'm just working with a very simple case between two data series, labeled series11 and series12 in the attached temp_data.WF1 file. Both series, as well as series21 and series22, are log differences of underlying data (and as logdifferences are stationary). Any help/guidance would be greatly appreciated!
Thanks!
I seem to be having a similar issue with the VAR Test error message. I'm not sure what I'm doing wrong since I'm just working with a very simple case between two data series, labeled series11 and series12 in the attached temp_data.WF1 file. Both series, as well as series21 and series22, are log differences of underlying data (and as logdifferences are stationary). Any help/guidance would be greatly appreciated!
Thanks!
 Attachments

 Screentshot 2 Error Message.png (38.43 KiB) Viewed 34323 times

 Screenshot 1 Set up.png (54.52 KiB) Viewed 34323 times

 temp_data.WF1
 (39.89 KiB) Downloaded 660 times
Re: Spectral Granger Causality Test*
Hi,
You are not doing anything wrong, it is because what I mention in my previous post. You have two options, increase the maximum number lags or select the AIC criteria, in the case that any of this work ir means that a VAR(p) with p>2 it is not suggested to be fitted to the data and the test can not be performed.
Regards,
You are not doing anything wrong, it is because what I mention in my previous post. You have two options, increase the maximum number lags or select the AIC criteria, in the case that any of this work ir means that a VAR(p) with p>2 it is not suggested to be fitted to the data and the test can not be performed.
Regards,

 Posts: 4
 Joined: Sun Jul 31, 2016 8:22 pm
Re: Spectral Granger Causality Test*
i do not know what is meaning about the figure? how to test it whether pass the 5% significant test? i hope i can get help. thank you.
Re: Spectral Granger Causality Test*
If the p value of the test is under the significance level the hypothesis that a series X does not cause a series Y in the frequency wj is rejected. Also a graph with the label var1_var2 means that the variable var1 is the dependent and var2 the independent, therefore the hypothesis is that var2 does not cause var1 at frequency wj.
Regards,
Regards,

 Posts: 3
 Joined: Fri Nov 04, 2016 12:45 pm
Re: Spectral Granger Causality Test*
Are you planning on adding the likelihood ratio (LR) statistic as an option for the lag selection criteria and/or the ability to manually set the lag length?
Thanks!
Thanks!
Re: Spectral Granger Causality Test*
The second suggestion would be more general for any lag desierd by the user, but the first will be easy to implement in the current version of the addin. Thanks for the idea, I will see what I can do.
Regards,
Regards,
Re: Spectral Granger Causality Test*
Hello every one
Can I use this test for panel data?
Can I use this test for panel data?
Re: Spectral Granger Causality Test*
Hello,
In the orginal paper of Breitung and Candelon (2006), they develop the test in a time series context i.e. for VAR. I guess that it is not straigth forward to implement the test in a panel, maybe the addin will run if you have panel data, but I would be very careful to interpret the results.
https://www.sciencedirect.com/science/a ... jp00wzyEfw
Regards,
In the orginal paper of Breitung and Candelon (2006), they develop the test in a time series context i.e. for VAR. I guess that it is not straigth forward to implement the test in a panel, maybe the addin will run if you have panel data, but I would be very careful to interpret the results.
https://www.sciencedirect.com/science/a ... jp00wzyEfw
Regards,
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