Testing for Granger causality with mixed frequency data
Eric Ghysels, Jonathan B. Hill, Kaiji Motegi
| Year of publication: |
May 2016
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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. 192.2016, 1, p. 207-230
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| Subject: | Granger causality test | Local asymptotic power | Mixed data sampling (MIDAS) | Temporal aggregation | Vector autoregression (VAR) | Kausalanalyse | Causality analysis | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Aggregation | Stichprobenerhebung | Sampling | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.07.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011617146