Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
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Recommendations
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Cites work
- A new approach for estimating VAR systems in the mixed-frequency case
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Granger-causality in cointegrated VAR processes. The case of the term structure
- scientific article; zbMATH DE number 762913 (Why is no real title available?)
- Inference in Linear Time Series Models with some Unit Roots
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Macroeconomics and the reality of mixed frequency data
- Making wald tests work for cointegrated VAR systems
- Multiple Comparisons Among Means
- Nowcasting causality in mixed frequency vector autoregressive models
- Short Run and Long Run Causality in Time Series: Theory
- Statistical inference in vector autoregressions with possibly integrated processes
- Temporal Aggregation in the Multiple Regression Model
- Testing for a unit root in time series regression
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Testing for Granger causality in large mixed-frequency VARs
- Testing for Granger causality with mixed frequency data
- Time Series Regression with a Unit Root
- Vector autoregression and causality: a theoretical overview and simulation study
- Vector Autoregressions and Causality
Cited in
(16)- Multivariate out-of-sample tests for Granger causality
- Testing the functional constraints on parameters in regressions with variables of different frequency
- Nowcasting causality in mixed frequency vector autoregressive models
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- A mixed frequency approach for stock returns and valuation ratios
- Spurious Granger causalities in integrated autoregressive moving average processes
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
- scientific article; zbMATH DE number 7387618 (Why is no real title available?)
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Toda-Yamamoto approximation for the Granger causality analysis of climate attributes in Yogyakarta
- Persistence-robust surplus-lag Granger causality testing
- Testing for Granger causality with mixed frequency data
- Vector autoregressive models with measurement errors for testing Granger causality
- Testing for Granger causality in large mixed-frequency VARs
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