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

DOI10.1016/J.JECONOM.2020.04.032zbMATH Open1464.62384OpenAlexW3124317718MaRDI QIDQ2227063FDOQ2227063

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

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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)

Cites Work

• Multivariate adaptive regression splines
• The Lindeberg-Levy Theorem for Martingales
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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• The power of bootstrap and asymptotic tests
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• Central limit theorems for empirical measures
• Title not available (Why is that?)
• Limit Theorems for the Maximum Term in Stationary Sequences
• Short run and long run causality in time series: inference
• Title not available (Why is that?)
• On the asymptotic normality of Fourier flexible form estimates
• Smoothing splines: Regression, derivatives and deconvolution
• The central limit theorem for stochastic processes
• Testing for Granger causality in large mixed-frequency VARs
• The uniform convergence of autocovariances
• Nowcasting causality in mixed frequency vector autoregressive models
• Mixed-Frequency Vector Autoregressive Models
• Testing for Granger causality with mixed frequency data
• Macroeconomics and the reality of mixed frequency data

Cited In (4)

• Title not available (Why is that?)
• Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
• Testing the functional constraints on parameters in regressions with variables of different frequency
• New robust inference for predictive regressions

Uses Software

• MIDAS Regressions
• midasr

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