Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality

DOI10.1016/J.JECONOM.2020.04.032MaRDI QIDQ2227063zbMATH OpenOpenAlexFDO

Authors Eric Ghysels, Jonathan B. Hill, Kaiji Motegi

Publication date 9 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.04.032

zbMATH Keywords

dimension reductionGranger causality testmax testmixed data sampling (MIDAS)parsimonious regression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Testing for Granger causality in large mixed-frequency VARs
• Testing for Granger causality with mixed frequency data
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• Testing the functional constraints on parameters in regressions with variables of different frequency

Cites work

• A Reality Check for Data Snooping
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
• Central limit theorems for empirical measures
• scientific article; zbMATH DE number 762913 (Why is no real title available?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Limit Theorems for the Maximum Term in Stationary Sequences
• Macroeconomics and the reality of mixed frequency data
• MIDAS Regressions: Further Results and New Directions
• Mixed-frequency vector autoregressive models
• Multivariate adaptive regression splines
• Nowcasting causality in mixed frequency vector autoregressive models
• On the asymptotic normality of Fourier flexible form estimates
• Portmanteau test and simultaneous inference for serial covariances
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Short run and long run causality in time series: inference
• Short Run and Long Run Causality in Time Series: Theory
• Smoothing splines: Regression, derivatives and deconvolution
• Sur la distribution limite du terme maximum d'une série aléatoire
• Testing for a unit root in time series regression
• Testing for Granger causality in large mixed-frequency VARs
• Testing for Granger causality with mixed frequency data
• The central limit theorem for stochastic processes
• The Lindeberg-Levy Theorem for Martingales
• The power of bootstrap and asymptotic tests
• The uniform convergence of autocovariances

Cited in

(10)

• Testing the functional constraints on parameters in regressions with variables of different frequency
• Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
• Testing for the null of block zero restrictions in common factor models
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• scientific article; zbMATH DE number 7387618 (Why is no real title available?)
• Testing for Granger causality with mixed frequency data
• New robust inference for predictive regressions
• Formalizing multiresolution statistical causality tests: A comprehensive review and empirical analysis
• Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting
• Testing for Granger causality in large mixed-frequency VARs

Describes a project that uses

Uses Software

• MIDAS Regressions
• midasr

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