Nowcasting causality in mixed frequency vector autoregressive models

DOI10.1016/J.ECONLET.2013.10.037MaRDI QIDQ2016010zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• Testing for Granger causality with mixed frequency data
• Estimation of vector error correction models with mixed-frequency data
• Testing for Granger causality in large mixed-frequency VARs
• Mixed-frequency vector autoregressive models

Cites work

• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• MIDAS Regressions: Further Results and New Directions
• Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
• Testing for Granger causality with mixed frequency data
• Testing for cointegration with temporally aggregated and mixed-frequency time series

Cited in

(8)

• Real-time nowcasting of nominal GDP with structural breaks
• 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
• Testing for Granger causality with mixed frequency data
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• Testing for deterministic seasonality in mixed-frequency VARs
• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• Nowcasting using mixed frequency methods: an application to the Scottish economy

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