GrangerCausalityTestInQuantile

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Name of Quantlet: GrangerCausalityTestInQuantile_Simulation

Published in: Econometric Theory, 28, 2012, 861-887

Description: Simulations are carried out to illustrate the behavior of the test under the null and also the power of the test under plausible alternatives. An economic application considers the causal relations between the crude oil price, the USD/GBP exchange rate, and the gold price in the gold market.

Keywords: Simulation, nonparametric test, Gaussian causality in quantile

Author: Song Song

Datafile: gold.txt, oil.txt, OilGold.txt, rate.txt, RateGold.txt, Data.xls, rate.xls

<div align="center"> <img src="https://raw.githubusercontent.com/QuantLet/GrangerCausalityTestInQuantile/master/OilGold.jpg" alt="Image" /> </div> <div align="center"> <img src="https://raw.githubusercontent.com/QuantLet/GrangerCausalityTestInQuantile/master/RateGold.jpg" alt="Image" /> </div>