Testing for Granger causality in large mixed-frequency VARs
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Cites work
- scientific article; zbMATH DE number 3990600 (Why is no real title available?)
- scientific article; zbMATH DE number 762913 (Why is no real title available?)
- A Gibbs sampler for structural vector autoregressions
- A Reality Check for Data Snooping
- Bootstrap determination of the co-integration rank in vector autoregressive models
- Bootstrap hypothesis testing in regression models
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
- Bootstrapping factor-augmented regression models
- Computational Methods for Inverse Problems
- Discrete Approximations to Continuous Time Distributed Lags in Econometrics
- Edgeworth correction by bootstrap in autoregressions
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
- Forecasting mixed-frequency time series with ECM-MIDAS models
- Handbook of Volatility Models and Their Applications
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Inference in VARs with conditional heteroskedasticity of unknown form
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- MIDAS Regressions: Further Results and New Directions
- Macroeconomics and the reality of mixed frequency data
- Mixed-frequency vector autoregressive models
- Multiple Comparisons Among Means
- Nowcasting causality in mixed frequency vector autoregressive models
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Prediction with a Generalized Cost of Error Function
- Robust Wald Tests in Sur Systems with Adding-up Restrictions
- Short Run and Long Run Causality in Time Series: Theory
- Short run and long run causality in time series: inference
- Temporal aggregation and spurious instantaneous causality in multiple time series models
- Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
- Testing for Granger causality with mixed frequency data
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Testing for common autocorrelation in data-rich environments
- The Bayesian Lasso
- The Large Sample Correspondence between Classical Hypothesis Tests and Bayesian Posterior Odds Tests
- The power of bootstrap and asymptotic tests
- What does financial volatility tell us about macroeconomic fluctuations?
Cited in
(15)- Testing the functional constraints on parameters in regressions with variables of different frequency
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Vector autoregressive models with measurement errors for testing Granger causality
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Nowcasting causality in mixed frequency vector autoregressive models
- Testing for Granger causality with mixed frequency data
- Granger-causality in Markov switching models
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Spurious Granger causalities in integrated autoregressive moving average processes
- The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
- Testing for deterministic seasonality in mixed-frequency VARs
- scientific article; zbMATH DE number 7387618 (Why is no real title available?)
- Multivariate out-of-sample tests for Granger causality
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