Nowcasting causality in mixed frequency vector autoregressive models

DOI10.1016/j.econlet.2013.10.037zbMath1290.62073OpenAlexW2080277463MaRDI QIDQ2016010

Alain Hecq, Thomas B. Götz

Publication date: 18 June 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/38a7ae38-e21e-49e7-9382-0d2b27c921b5

zbMATH Keywords

Granger causalityinstantaneous causalitymixed-frequency regressionmixed-frequency VAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ Testing for deterministic seasonality in mixed-frequency VARs ⋮ Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Real-time nowcasting of nominal GDP with structural breaks ⋮ Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes

Cites Work

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• MIDAS Regressions: Further Results and New Directions
• Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
• Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Testing for Granger causality with mixed frequency data

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