Testing for Granger causality with mixed frequency data (Q5964759): Difference between revisions

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+The Effect of Aggregation on Prediction in the Autoregressive Model
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Temporal aggregation and spurious instantaneous causality in multiple time series models
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+Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
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+Mixing: Properties and examples
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+Short run and long run causality in time series: inference
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+Short Run and Long Run Causality in Time Series: Theory
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+A Note on Noncausality
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+Mixed-Frequency Vector Autoregressive Models
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+Testing for Granger causality with mixed frequency data
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+Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
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+Predicting volatility: getting the most out of return data sampled at different frequencies
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
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+Forecasting aggregated vector ARMA processes
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+Granger causality and the sampling of economic processes
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
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+Estimation of vector error correction models with mixed-frequency data
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+Tests for Long-Run Granger Non-Causality in Cointegrated Systems
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