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
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• Asymptotics for out of sample tests of Granger causality
• Testing the functional constraints on parameters in regressions with variables of different frequency

Cites work

• scientific article; zbMATH DE number 762913 (Why is no real title available?)
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• Testing for Granger causality with mixed frequency data
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Cited in

(8)

• Testing the functional constraints on parameters in regressions with variables of different frequency
• Testing for Granger causality with mixed frequency data
• New robust inference for predictive regressions
• 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
• Testing for Granger causality in large mixed-frequency VARs
• scientific article; zbMATH DE number 7387618 (Why is no real title available?)

Describes a project that uses

Uses Software

• MIDAS Regressions
• midasr

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