Testing for Granger causality in large mixed-frequency VARs
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Publication:726601
DOI10.1016/j.jeconom.2016.04.015zbMath1431.62380OpenAlexW1967909880WikidataQ59107863 ScholiaQ59107863MaRDI QIDQ726601
Thomas B. Götz, Stephan Smeekes, Alain Hecq
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)
Related Items (7)
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions ⋮ Testing for deterministic seasonality in mixed-frequency VARs ⋮ The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting ⋮ Unnamed Item ⋮ Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit ⋮ 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
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