*! version 1.0.2 24may2026

Title

asycaus spectral -- Bahmani-Oskooee, Chang & Ranjbar (2016) asymmetric frequency-domain causality

Syntax

asycaus spectral depvar causvar [if] [in] [, options]

Description

Implements the Breitung and Candelon (2006) spectral causality test applied
separately to the cumulative positive and negative shocks of the two
variables (Bahmani-Oskooee, Chang and Ranjbar 2016). At each frequency
w in (0, pi], the null

H0: MY→X(w) = 0

is tested via a Wald statistic distributed as chi-square(2) under the asymptotic
distribution. The output reports the number of frequencies that reject H0 at
1%, 5%, and 10% for each shock type. The graph plots the Wald curve against
chi-square(2) critical values across the frequency grid — the classical
Bahmani-Oskooee et al. presentation.

Options

maxlag(#) max VAR lag (default 8)

ic(string) IC (default hjc)

shock(string) pos | neg | both

nfreq(#) grid size in (0, pi] (default 50)

boot(#) bootstrap reps (reserved; default 500)

lnform log of inputs

nograph suppress graph

saving(name) save graph

Examples

webuse lutkepohl2, clear

tsset qtr

asycaus spectral dln_inv dln_inc, nfreq(50) shock(both)

Stored results

r(results) matrix: shock_id, omega, Wald, cv10, cv5, cv1 (per frequency)

r(nfreq) grid size

References

Bahmani-Oskooee, M., Chang, T., and Ranjbar, O. (2016). Asymmetric causality using frequency-domain and time-frequency-domain (wavelet) approaches. Economic Modelling, 56, 66–78.

Breitung, J., and Candelon, B. (2006). Testing for short- and long-run causality: a frequency-domain approach. Journal of Econometrics, 132, 363–378.

Author

Dr Merwan Roudane -- merwanroudane920@gmail.com

See asycaus for the package overview.