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The Stata Journal
Volume 15 Number 4: pp. 1157-1166

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Testing for spectral Granger causality

Hüseyin Tastan
Department of Economics
Yildiz Technical University
Istanbul, Turkey
[email protected]
Abstract.  In this article, I introduce a command (bcgcausality) to implement Breitung and Candelon's (2006, Journal of Econometrics, 132: 363–378) Granger causality test in the frequency domain.
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