Testing for Granger causality with mixed frequency data

Eric Ghysels, Jonathan B. Hill, Kaiji Motegi

    Research output: Contribution to journalArticle

    17 Citations (Scopus)

    Abstract

    We develop Granger causality tests that apply directly to data sampled at different frequencies. We show that taking advantage of mixed frequency data allows us to better recover causal relationships when compared to the conventional common low frequency approach. We also show that the new causality tests have higher local asymptotic power as well as more power in finite samples compared to conventional tests. In an empirical application involving U.S. macroeconomic indicators, we show that the mixed frequency approach and the low frequency approach produce very different causal implications, with the former yielding more intuitively appealing result.

    Original languageEnglish
    Pages (from-to)207-230
    Number of pages24
    JournalJournal of Econometrics
    Volume192
    Issue number1
    DOIs
    Publication statusPublished - 2016 May 1

    Fingerprint

    Granger Causality
    Testing
    Low Frequency
    Asymptotic Power
    Macroeconomics
    Causality
    Mixed frequency data
    Granger causality

    Keywords

    • Granger causality test
    • Local asymptotic power
    • Mixed data sampling (MIDAS)
    • Temporal aggregation
    • Vector autoregression (VAR)

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Applied Mathematics
    • History and Philosophy of Science

    Cite this

    Testing for Granger causality with mixed frequency data. / Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji.

    In: Journal of Econometrics, Vol. 192, No. 1, 01.05.2016, p. 207-230.

    Research output: Contribution to journalArticle

    Ghysels, Eric ; Hill, Jonathan B. ; Motegi, Kaiji. / Testing for Granger causality with mixed frequency data. In: Journal of Econometrics. 2016 ; Vol. 192, No. 1. pp. 207-230.
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