Testing for Granger causality with mixed frequency data
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Recommendations
- Testing for Granger causality in large mixed-frequency VARs
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- 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
Cites work
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- A Note on Noncausality
- A Note on the Central Limit Theorems for Dependent Random Variables
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Automatic Lag Selection in Covariance Matrix Estimation
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Dependent central limit theorems and invariance principles
- Estimation of vector error correction models with mixed-frequency data
- Forecasting aggregated vector ARMA processes
- Granger causality and the sampling of economic processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3734998 (Why is no real title available?)
- scientific article; zbMATH DE number 3799981 (Why is no real title available?)
- scientific article; zbMATH DE number 762913 (Why is no real title available?)
- Linear transformations of vector ARMA processes
- Mixed-frequency vector autoregressive models
- Mixing: Properties and examples
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Prediction of multivariate time series by autoregressive model fitting
- Short run and long run causality in time series: inference
- Short Run and Long Run Causality in Time Series: Theory
- Some Limit Theorems for Stationary Processes
- Temporal aggregation and spurious instantaneous causality in multiple time series models
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
- Testing for Granger causality with mixed frequency data
- Tests for Long-Run Granger Non-Causality in Cointegrated Systems
- The Effect of Aggregation on Prediction in the Autoregressive Model
Cited in
(15)- Testing for deterministic seasonality in mixed-frequency VARs
- Testing the functional constraints on parameters in regressions with variables of different frequency
- Nowcasting causality in mixed frequency vector autoregressive models
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- A mixed frequency approach for stock returns and valuation ratios
- On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
- Validity of Time Reversal for Testing Granger Causality
- Statistical Tests for Detecting Granger Causality
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- scientific article; zbMATH DE number 7387618 (Why is no real title available?)
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- Testing for Granger causality with mixed frequency data
- A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
- Identify causality by multi-scale structural complexity
- Testing for Granger causality in large mixed-frequency VARs
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