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Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
Alain Hecq
, Luca Margaritella,
Stephan Smeekes
QE Econometrics
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Dive into the research topics of 'Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure'. Together they form a unique fingerprint.
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Keyphrases
Selection Strategy
100%
Granger Causality
100%
Causality Testing
100%
High-dimensional VAR
100%
Post-double-selection
100%
Monte Carlo Simulation
33%
Least Absolute Shrinkage and Selection Operator (LASSO)
33%
Macroeconomics
33%
Causal Relationship
33%
Data Generating Process
33%
VAR Model
33%
Tuning Parameter
33%
Realized Volatility
33%
LM Test
33%
Penalized Least Squares Estimation
33%
Causality Relationship
33%
Money-income Causality
33%
INIS
testing
100%
causality
100%
applications
66%
data
33%
comparative evaluations
33%
simulation
33%
size
33%
datasets
33%
income
33%
monte carlo method
33%
tuning
33%
volatility
33%
least square fit
33%
one-dimensional calculations
33%
stocks
33%
Mathematics
Monte Carlo
100%
Least Square Estimation
100%
Causal Relationship
100%
Test Procedure
100%
Economics, Econometrics and Finance
Causality Analysis
100%
Macroeconomics
50%
Volatility
50%
Monte Carlo Simulation
50%