Article ID Journal Published Year Pages File Type
5059153 Economics Letters 2014 5 Pages PDF
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
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Nowcasting causality in mixed frequency vector autoregressive models
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