Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure

Keyphrases

• Selection Strategy 100%
• Granger Causality 100%
• Causality Testing 100%
• High-dimensional VAR 100%
• Post-double-selection 100%
• Monte Carlo Simulation 50%
• Least Absolute Shrinkage and Selection Operator (LASSO) 50%
• Vector Autoregressive Model 50%
• Sparsity 50%
• Testing Procedures 50%
• Causal Relationship 50%
• Asymptotic Validity 50%
• Data Generating Process 50%
• LM Test 50%
• Penalized Least Squares Estimation 50%
• Volatility Spillover 50%
• High-dimensional Vectors 50%
• Uniform Asymptotics 50%
• Nuisance Parameter 50%

Mathematics

• Monte Carlo 100%
• Asymptotics 100%
• Least Square Estimation 100%
• Autoregressive Model 100%
• Testing Procedure 100%
• Causal Relationship 100%
• Dimensional Vector 100%

INIS

• testing 100%
• causality 100%
• data 50%
• comparative evaluations 50%
• simulation 50%
• size 50%
• vectors 50%
• monte carlo method 50%
• asymptotic solutions 50%
• volatility 50%
• least square fit 50%