Testing for Granger causality with mixed frequency data (Q5964759)
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scientific article; zbMATH DE number 6547763
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Testing for Granger causality with mixed frequency data |
scientific article; zbMATH DE number 6547763 |
Statements
Testing for Granger causality with mixed frequency data (English)
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1 March 2016
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Granger causality test
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local asymptotic power
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mixed data sampling (MIDAS)
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temporal aggregation
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vector autoregression (VAR)
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0.9326276183128356
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0.9149595499038696
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0.9078912734985352
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0.8152644038200378
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0.7938125729560852
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