Nowcasting causality in mixed frequency vector autoregressive models

Thomas Götz and Alain Hecq

Economics Letters, 2014, vol. 122, issue 1, 74-78

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 (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (16)

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Working Paper: Nowcasting causality in mixed frequency vector autoregressive models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:122:y:2014:i:1:p:74-78

DOI: 10.1016/j.econlet.2013.10.037

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