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	Fourier Granger-kausalitetstest	Granger-kausalitetstest
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	2016	1969
Upphovsperson	Enders and Jones	Clive W. J. Granger
Typ	Causality test	Causality test (F-test on VAR)
Ursprungskälla	Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399–419.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Alias	Fourier Granger causality test, Enders-Jones Granger causality, smooth structural break Granger test, spectral Granger causality	Granger test, GC test, predictive causality test, Granger non-causality test
Närliggande	6	5
Sammanfattning	The Fourier Granger causality test extends the classic Granger causality framework by embedding low-frequency Fourier terms in the VAR equation, allowing the causal relationship to shift gradually over time without requiring the researcher to pre-specify the number or location of structural breaks.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.