Comments on: Introduction to Granger Causality

By: rant

rant — Sun, 12 Jun 2022 16:15:48 +0000

Hello Eric,
You have done an amazing work and thank you very much for that.
Can I ask please if I have 3 variables (commodity prices) and I want to explore whether each one granger causes the other on and the opposite direction, shall I make a trivariate var model or every possible combination and then to apply the causality test on the derived residuals? I plan to use the non parametric test of Dicks and Panchenko (2006) and needs the data used to be stationary .
Can this causality test be conducted on gauss?
Thank you very much and congratulations again on your work!

By: jamels

jamels — Wed, 07 Jul 2021 22:44:51 +0000

Hi Erica, it helps a lot! Thank you very much.

Jamel

By: Erica

Erica — Wed, 07 Jul 2021 15:21:50 +0000

Hi Jamel,

Thank you for your kind comment! I am glad you enjoyed the blog on Granger Causality. I do have the full references for the tests you are inquiring about. (It appears that the Ender & Jones paper is actually a 2016 paper):

Enders, W., & P. Jones. (2016). Grain prices, oil prices, and multiple smooth breaks in a var. Studies in Nonlinear Dynamics & Econometrics 20 (4):399-419.

Nazlioglu, S., Soytas, U. & Gormus, A. (2019). Oil prices and monetary policy in emerging markets: structural shifts in causal linkages”. Emerging Markets Finance and Trade. 55:1, 105-117.

I hope this helps!

Erica

By: jamels

jamels — Tue, 06 Jul 2021 07:15:03 +0000

Thank you very much for this fantastic blog, could you indicate the references for the causality tests:
4 Cumulative Fourier-frequency Granger causality (Enders & Jones, 2019)
5 Cumulative Fourier-frequency Toda & Yamamoto (Nazlioglu et al., 2019)
Best regards,
JS