This paper deals with the estimation of unconditional and conditional Granger-causality spectrum in the frequency domain. We describe two Python routines that parallel the existing R routines in computing these two quantities via package grangers. We present a simulation study showing that under zero-causality processes Python routines tend to perform slightly better than R, while under low-causality processes R routines perform quite better, because Python is less sensitive than R to small causality parameters. This difference can be attributed to the intrinsic VAR order selection procedure of the two packages.
Comparing How Python and R Estimate Granger-Causality in the Frequency Domain / Matteo Farne; Meng Yang. - ELETTRONICO. - (2024), pp. 213-222. [10.1007/978-3-031-53717-2_20]
Comparing How Python and R Estimate Granger-Causality in the Frequency Domain
Matteo Farne;
2024
Abstract
This paper deals with the estimation of unconditional and conditional Granger-causality spectrum in the frequency domain. We describe two Python routines that parallel the existing R routines in computing these two quantities via package grangers. We present a simulation study showing that under zero-causality processes Python routines tend to perform slightly better than R, while under low-causality processes R routines perform quite better, because Python is less sensitive than R to small causality parameters. This difference can be attributed to the intrinsic VAR order selection procedure of the two packages.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.