Nowcasting causality in mixed frequency vector autoregressive models

This paper introduces the notion of nowcasting causality for mixed-frequency VARs as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in the mixed-frequency VAR setting of Ghysels 2012 and illustrate that nowcasting causality can have a crucial impact on the significance of contemporaneous or lagged high-frequency variables in standard MIDAS regression models.

MoreLess

Year of publication:	2013
Authors:	Götz T.B. ; Hecq A.W.
Institutions:	Graduate School of Business and Economics (GSBE), School of Business and Economics
Subject:	Single Equation Models \| Single Variables: Cross-Sectional Models \| Spatial Models \| Treatment Effect Models \| Quantile Regressions \| Single Variables: Time-Series Models \| Dynamic Quantile Regressions \| Dynamic Treatment Effect Models \| Multiple or Simultaneous Equation Models: Time-Series Models

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Research Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Research Memorandum Number 050
Classification:	C21 - Cross-Sectional Models; Spatial Models ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010734865