Testing for Granger causality in large mixed-frequency VARs
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Publication:726601
DOI10.1016/J.JECONOM.2016.04.015zbMATH Open1431.62380OpenAlexW1967909880WikidataQ59107863 ScholiaQ59107863MaRDI QIDQ726601FDOQ726601
Authors: Thomas B. Götz, Alain Hecq, Stephan Smeekes 
Publication date: 12 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/12525363/3869225.pdf
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Cited In (15)
- The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
- Title not available (Why is that?)
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Granger-causality in Markov switching models
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Testing for Granger causality with mixed frequency data
- Spurious Granger causalities in integrated autoregressive moving average processes
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- Testing the functional constraints on parameters in regressions with variables of different frequency
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Testing for deterministic seasonality in mixed-frequency VARs
- Nowcasting causality in mixed frequency vector autoregressive models
- Vector autoregressive models with measurement errors for testing Granger causality
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Multivariate out-of-sample tests for Granger causality
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