Template-type: ReDif-Paper 1.0
Author-Name: Götz, T.B.
Author-workplace-name: Quantitative Economics
Author-Name: Hecq, A.W.
Author-workplace-name: Quantitative Economics
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.
Series: GSBE Research Memoranda
Creation-Date: 20130101
Number: 050
File-URL: https://cris.maastrichtuniversity.nl/ws/files/1375191/guid-37088e93-e662-4b4f-ac0c-24ad95566637-ASSET1.0.pdf
File-Format: application/pdf
File-Size: 619122
Handle: Repec:unm:umagsb:2013050
DOI: 10.26481/umagsb.2013050