Testing for Granger causality with mixed frequency data
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Publication:5964759
DOI10.1016/j.jeconom.2015.07.007zbMath1419.62229MaRDI QIDQ5964759
Kaiji Motegi, Jonathan B. Hill, Eric Ghysels
Publication date: 1 March 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Granger causality testlocal asymptotic powermixed data sampling (MIDAS)temporal aggregationvector autoregression (VAR)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (12)
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ Testing for deterministic seasonality in mixed-frequency VARs ⋮ A smoothed \(p\)-value test when there is a nuisance parameter under the alternative ⋮ Identify causality by multi-scale structural complexity ⋮ Unnamed Item ⋮ Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality ⋮ Nowcasting causality in mixed frequency vector autoregressive models ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ Testing for Granger causality with mixed frequency data ⋮ A mixed frequency approach for stock returns and valuation ratios ⋮ Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes ⋮ On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling
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