Testing for Granger causality with mixed frequency data

DOI10.1016/j.jeconom.2015.07.007zbMath1419.62229MaRDI QIDQ5964759

Kaiji Motegi, Jonathan B. Hill, Eric Ghysels

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Granger causality testlocal asymptotic powermixed data sampling (MIDAS)temporal aggregationvector autoregression (VAR)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ Testing for deterministic seasonality in mixed-frequency VARs ⋮ A smoothed \(p\)-value test when there is a nuisance parameter under the alternative ⋮ Identify causality by multi-scale structural complexity ⋮ Unnamed Item ⋮ Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality ⋮ Nowcasting causality in mixed frequency vector autoregressive models ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Testing for Granger causality with mixed frequency data ⋮ A mixed frequency approach for stock returns and valuation ratios ⋮ Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes ⋮ On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling

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