140 research outputs found
Multi-Regime Common Cyclical Features
In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This approach is illustrated by analyzing the stability of the McCallum''s (1994) monetary policy reaction function for Danish data.Economics ;
Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
We develop an LM test for Granger causality in high-dimensional VAR models
based on penalized least squares estimations. To obtain a test retaining the
appropriate size after the variable selection done by the lasso, we propose a
post-double-selection procedure to partial out effects of nuisance variables
and establish its uniform asymptotic validity. We conduct an extensive set of
Monte-Carlo simulations that show our tests perform well under different data
generating processes, even without sparsity. We apply our testing procedure to
find networks of volatility spillovers and we find evidence that causal
relationships become clearer in high-dimensional compared to standard
low-dimensional VARs
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