Alain Hecq, Luca Margaritella, Stephan Smeekes
arXiv 28 Feb 2019 · Econometrics · publishedJournal of Financial Econometrics (2021) · 5 citations (OpenAlex)
arXiv:1902.10991 · PDF · DOI · OpenAlex · Extracted main text
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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kock, A. B. and L. Callot (2015) Oracle inequalities for high dimensional vector autoregressions | 1.000 | 6 | 4 | 100% |
| 2 | Masini, R. P., M. C. Medeiros, and E. F. Mendes (2019) Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations | 1.000 | 5 | 3 | 100% |
| 3 | Medeiros, M. C. and E. F. Mendes (2016) $_1$-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors | 1.000 | 5 | 3 | 100% |
| 4 | Belloni, A., V. Chernozhukov, and C. Hansen (2014) Inference on treatment effects after selection among high-dimensional controls | 0.928 | 5 | 3 | 80% |
| 5 | Belloni, A., V. Chernozhukov, and C. Hansen (2014) High-dimensional methods and inference on structural and treatment effects | 0.843 | 3 | 3 | 100% |
| 6 | Granger, C. W (1969) Investigating causal relations by econometric models and cross-spectral methods | 0.811 | 4 | 2 | 100% |
| 7 | Belloni, A. and V. Chernozhukov (2013) Least squares after model selection in high-dimensional sparse models | 0.737 | 3 | 2 | 100% |
| 8 | Wong, K. C., Z. Li, and A. Tewari (2020) Lasso guarantees for $$-mixing heavy-tailed time series | 0.737 | 3 | 2 | 100% |
| 9 | Zou, H. and T. Hastie (2005) Regularization and variable selection via the elastic net | 0.737 | 3 | 2 | 100% |
| 10 | Basu, S., A. Shojaie, and G. Michailidis (2015) Network granger causality with inherent grouping structure | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 77 scored citations.
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