Testing for Granger Causality in Large Mixed-Frequency VARs

Common Drivers of Commodity Futures?

“…This might imply that supposedly causal links could be of spurious nature. One way to get around this issue might be provided by using MF Granger causality tests for processes that are possibly cointegrated as introduced by Götz & Hecq (2019). Tables C.18-C.24 provide p-values of MF and HF Granger causality tests over each of the subsamples including results for non-aggregated drivers.…”

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions

“…As for the standard VAR, the ij th entry of B, denoted by β ij , explains the lagged effect of the jth series on the ith series. The entries of the autoregressive coefficient matrix thus permits one to study one-step-ahead predictive Granger causality, an often investigated feature also in the context of MF-VARs (e.g., Ghysels et al, 2016;Götz et al, 2016).…”

“…See columns "K = 22", "K = 55" and "K = 91" of Table 2. To ensure that m 2 = 12 in the large MF-VAR, we consider all months with more than four weekly observations and disregard the excessive weeks at the beginning of the corresponding month in line with Götz et al (2016).…”

“…This curse of dimensionality has mostly been addressed through mixed-frequency factor models (e.g., Marcellino and Schumacher, 2010;Foroni and Marcellino, 2014;Andreou et al, 2019) or Bayesian estimation (e.g., Schorfheide and Song, 2015;McCracken et al, 2015;Ghysels, 2016;Götz et al, 2016). Sparsity-inducing convex regularizers form an appealing alternative (see Hastie et al, 2015 for an introduction), but despite their popularity in regression and standard VAR settings (e.g., Hsu et al, 2008;Basu et al, 2015;Callot et al, 2017;Derimer et al, 2018;Smeekes and Wijler, 2018;Barigozzi and Brownlees, 2019;Hecq et al, 2019), they have only been rarely explored as a tool for dimension reduction in mixed-frequency models.…”