Title: Frequency-wise causality analysis in infinite order vector autoregressive processes
Authors: Ryo Kinoshita - Tokyo Keizai University (Japan)
Kosuke Oya - Osaka University (Japan)
Mototsugu Shintani - University of Tokyo (Japan) [presenting]
Abstract: The asymptotic properties of a frequency-domain causality measure are derived by using the vector autoregressive model of infinite order and proposes a test for causality at a particular frequency. Simulation results confirm that our procedure works well with sample size typically available in practice. We illustrate the usefulness of our method via an application to financial data.