Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Alain Hecq, Luca Margaritella, and Stephan Smeekes
| Year of publication: |
2023
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|---|---|
| Authors: | Hecq, Alain W. J. ; Margaritella, Luca ; Smeekes, Stephan |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 915-958
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| Subject: | Granger causality | high-dimensional inference | post-double-selection | vector autoregressive models | Kausalanalyse | Causality analysis | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Induktive Statistik | Statistical inference | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314841