Template-type: ReDif-Paper 1.0
Author-Name: Götz T.B. 
Author-Name: Hecq A.W. 
Author-workplace-name: GSBE
Title: Nowcasting causality in mixed frequency vector autoregressive models
Abstract: 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.
Keywords: Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 
Classification-JEL: C21; C22; C32; .
Series:  Research Memorandum
Creation-Date: 2013
Number: 050
File-URL: http://pub.maastrichtuniversity.nl/37088e93-e662-4b4f-ac0c-24ad95566637
File-Format: application/pdf
File-Size: 619122
Handle: RePEc:unm:umagsb:2013050