Some Theoretical and Simulation Results on the Frequency Domain Causality Test

Abstract

Breitung and Candelon (2006 Breitung , J. , Candelon , B. ( 2006 ). Testing for short- and long-run causality: A frequency-domain approach . Journal of Econometrics 132 : 363 – 378 .[Crossref], [Web of Science ®] , [Google Scholar]) in Journal of Econometrics proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the noncausality hypothesis is tested at a frequency close to 0 or pi. This paper examines whether or not these results indicate their procedure is useless at such frequencies.

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