Nowcasting causality in mixed frequency vector autoregressive models

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.

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Year of publication:	2014
Authors:	Götz, Thomas B. ; Hecq, Alain
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 122.2014, 1, p. 74-78
Publisher:	Elsevier
Subject:	Instantaneous causality \| Granger causality \| Mixed-frequency VAR \| Mixed-frequency regression

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041595