Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Eric Ghysels, Jonathan B. Hill, Kaiji Motegi
| Year of publication: |
2020
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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. 218.2020, 2, p. 633-654
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| Subject: | Dimension reduction | Granger causality test | Max test | Mixed Data Sampling (MIDAS) | Parsimonious regression models | Kausalanalyse | Causality analysis | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.04.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483174