Nowcasting causality in mixed frequency vector autoregressive models

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 122
Issue: 1
Pages: 74-78

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:122:y:2014:i:1:p:74-78
Journal Field
General
Author Count
2
Added to Database
2026-01-25