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Fourier Toda-Yamamoto Causality/Ushahidi
Rekodi ya ushahidi wa mbinu

Fourier Toda-Yamamoto Causality

The Fourier Toda-Yamamoto (FTY) causality test extends the classical Toda-Yamamoto procedure by embedding Fourier trigonometric terms in the augmented VAR to capture smooth, gradual structural breaks in the deterministic component. It retains the key advantage of the Toda-Yamamoto approach — Granger causality can be tested without pre-testing for integration or cointegration order — while dramatically improving size and power when breaks occur.

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Fourier Toda-Yamamoto Granger Causality Test
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • Yilanci, V., & Ozgur, O. (2019). Testing the Fourier Toda-Yamamoto causality test with an application to energy demand. Energy Economics, 84, 104498. · URL
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. · DOI 10.1016/0304-4076(94)01616-8
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Same method familyGranger Causalitymachine-suggested · Relational suggestion, not evidence.Used in the same domainToda-Yamamoto Causalitymachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.

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