Nowcasting causality in mixed frequency vector autoregressive models
This paper introduces the notion of nowcasting causality for mixed-frequency VARs as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in the mixed-frequency VAR setting of Ghysels 2012 and illustrate that nowcasting causality can have a crucial impact on the significance of contemporaneous or lagged high-frequency variables in standard MIDAS regression models.
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- Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
- Eric Ghysels & J. Isaac Miller, 2013.
"Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series,"
1307, Department of Economics, University of Missouri, revised 07 May 2014.
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- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
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Econometric Society, vol. 64(2), pages 413-30, March.
- Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2012.
"U-MIDAS: MIDAS regressions with unrestricted lag polynomials,"
CEPR Discussion Papers
8828, C.E.P.R. Discussion Papers.
- Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2011. "U-MIDAS: MIDAS regressions with unrestricted lag polynomials," Discussion Paper Series 1: Economic Studies 2011,35, Deutsche Bundesbank, Research Centre.
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