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

DOI10.1016/j.jeconom.2020.04.032zbMath1464.62384OpenAlexW3124317718MaRDI QIDQ2227063

Kaiji Motegi, Jonathan B. Hill, Eric Ghysels

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 testmixed data sampling (MIDAS)max testparsimonious regression models

Mathematics Subject Classification ID

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

Related Items (2)

Unnamed Item ⋮ Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality

Uses Software

• MIDAS Regressions
• midasr

Cites Work

• Unnamed Item
• Unnamed Item
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• Testing for Granger causality with mixed frequency data

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