A theoretical and simulation analysis on the power of the frequency domain causality test

Wei, YF; Zhang, LG; Guo, XY; Yang, T

Guo, XY (corresponding author), Nanchang Univ, Sch Software, Nanchang, Jiangxi, Peoples R China.

STATISTICS & PROBABILITY LETTERS, 2021; 170 ():

Abstract

The power of the frequency domain causality test proposed by Breitung and Candelon (2006) is analyzed. We show that the power of the test is closely r......

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