Nowcasting causality in mixed frequency vector autoregressive models
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Publication:2016010
DOI10.1016/J.ECONLET.2013.10.037zbMATH Open1290.62073OpenAlexW2080277463MaRDI QIDQ2016010FDOQ2016010
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
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- 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 Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
- Testing for Granger causality with mixed frequency data
Cited In (6)
- Real-time nowcasting of nominal GDP with structural breaks
- Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
- 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 deterministic seasonality in mixed-frequency VARs
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
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