Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality (Q2227063)
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scientific article; zbMATH DE number 7308426
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| English | Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality |
scientific article; zbMATH DE number 7308426 |
Statements
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality (English)
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9 February 2021
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dimension reduction
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Granger causality test
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max test
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mixed data sampling (MIDAS)
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parsimonious regression models
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0.8533322811126709
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0.8152644038200378
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0.8035895228385925
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0.7922787666320801
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