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

Alain Hecq, Luca Margaritella, Stephan Smeekes

QE Econometrics

Research output: Working paper / Preprint › Preprint

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2023

Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure
Hecq, A., Margaritella, L. & Smeekes, S., 2023, In: Journal of Financial Econometrics. 21, 3, p. 915-958 44 p., nbab023.
Research output: Contribution to journal › Article › Academic › peer-review

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