Nowcasting causality in mixed frequency vector autoregressive models

Thomas Götz and Alain Hecq

No 50, Research Memorandum from Maastricht University, Graduate School of Business and Economics (GSBE)

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.

Date: 2013-01-01
New Economics Papers: this item is included in nep-ets
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Journal Article: Nowcasting causality in mixed frequency vector autoregressive models (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:unm:umagsb:2013050

DOI: 10.26481/umagsb.2013050

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