Nowcasting causality in mixed frequency vector autoregressive models

T.B. Götz; A.W. Hecq

doi:10.1016/j.econlet.2013.10.037

Nowcasting causality in mixed frequency vector autoregressive models

T.B. Götz^*, A.W. Hecq

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.

Original language	English
Pages (from-to)	74-78
Number of pages	5
Journal	Economics Letters
Volume	122
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2013.10.037
Publication status	Published - 1 Jan 2014

Keywords

Instantaneous causality
Granger causality
Mixed-frequency VAR
Mixed-frequency regression
NUISANCE PARAMETER
HYPOTHESIS

Access to Document

10.1016/j.econlet.2013.10.037

Cite this

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title = "Nowcasting causality in mixed frequency vector autoregressive models",

abstract = "This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.",

keywords = "Instantaneous causality, Granger causality, Mixed-frequency VAR, Mixed-frequency regression, NUISANCE PARAMETER, HYPOTHESIS",

author = "T.B. G{\"o}tz and A.W. Hecq",

year = "2014",

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AU - Hecq, A.W.

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AB - This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.

KW - Instantaneous causality

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KW - Mixed-frequency VAR

KW - Mixed-frequency regression

KW - NUISANCE PARAMETER

KW - HYPOTHESIS

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DO - 10.1016/j.econlet.2013.10.037

M3 - Article

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JF - Economics Letters

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