Konferenzbeitrag
Tests Of Non-Causality In A Frequency Band
We extend the frequency-specific Granger-causality test of Breitung and Candelon (2006) to a more general null hypothesis that allows non-causality at unknown frequencies within an interval, instead of having to prespecify a single frequency. This setup corresponds better to most hypotheses that are typically analyzed in applied research and is easy to implement. We also discuss a test approach that departs from strict non-causality, given the impossibility of (non-trivial) non-causality over a continuum of frequencies. In an empirical application dealing with the dynamics of US temperatures and CO2 emissions we find that emissions cause temperature changes only at very low frequencies with more than 30 years of oscillation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Time Series Econometrics ; No. A23-V2
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Climate; Natural Disasters and Their Management; Global Warming
Forecasting Models; Simulation Methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schreiber, Sven
Breitung, Jörg
- Ereignis
-
Veröffentlichung
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Schreiber, Sven
- Breitung, Jörg
Entstanden
- 2015
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