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Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 218 (2020) 2, pp. 633-654
Persistent link: https://www.econbiz.de/10012483174
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Testing for Granger causality with mixed frequency data
Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 192 (2016) 1, pp. 207-230
Persistent link: https://www.econbiz.de/10011617146