grangers0.1.0 package

Inference on Granger-Causality in the Frequency Domain

bc_test_cond

Conditional Granger-causality test of Breitung and Candelon (2006)

bc_test_uncond

Unconditional Granger-causality test of Breitung and Candelon (2006)

Granger.conditional

Conditional Granger-causality estimation

Granger.inference.conditional

Inference on conditional Granger-causality

Granger.inference.difference

Inference on the difference between unconditional and conditional Gran...

Granger.inference.unconditional

Inference on unconditional Granger-causality

Granger.unconditional

Unconditional Granger-causality estimation

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Contains five functions performing the calculation of unconditional and conditional Granger-causality spectra, bootstrap inference on both, and inference on the difference between them via the bootstrap approach of Farne' and Montanari, 2018 <arXiv:1803.00374>.