Testing for Granger causality with mixed frequency data
Year of publication: |
May 2016
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Authors: | Ghysels, Eric ; Hill, Jonathan B. ; Motegi, Kaiji |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 192.2016, 1, p. 207-230
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Subject: | Granger causality test | Local asymptotic power | Mixed data sampling (MIDAS) | Temporal aggregation | Vector autoregression (VAR) | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Statistischer Test | Statistical test | Schätztheorie | Estimation theory |
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