Andrii Babii, Eric Ghysels, Jonas Striaukas
arXiv 13 Dec 2019 · Econometrics · publishedJournal of Financial Econometrics (2022) · 22 citations (OpenAlex)
arXiv:1912.06307 · PDF · DOI · OpenAlex · Extracted main text
We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation consistent (HAC) estimation of the asymptotic variance and develop the inferential theory in the high-dimensional setting. To recognize the time series data structures we focus on the sparse-group LASSO estimator, which includes the LASSO and the group LASSO as special cases. We establish the debiased central limit theorem for low dimensional groups of regression coefficients and study the HAC estimator of the long-run variance based on the sparse-group LASSO residuals. This leads to valid time series inference for individual regression coefficients as well as groups, including Granger causality tests. The treatment relies on a new Fuk-Nagaev inequality for a class of $\tau$-mixing processes with heavier than Gaussian tails, which is of independent interest. In an empirical application, we study the Granger causal relationship between the VIX and financial news.
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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 | Babii, Ghysels, and Striaukas (2020) Machine learning time series regressions with an application to nowcasting self | 1.000 | 8 | 4 | 100% |
| 2 | Andrews (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 1.000 | 5 | 3 | 100% |
| 3 | Fuk and Nagaev (1971) Probability inequalities for sums of independent random variables | 0.843 | 3 | 3 | 100% |
| 4 | Parzen (1957) On consistent estimates of the spectrum of a stationary time series | 0.843 | 3 | 3 | 100% |
| 5 | Dedecker and Prieur (2004) Coupling for $$-dependent sequences and applications | 0.811 | 4 | 2 | 100% |
| 6 | van de Geer, Bühlmann, Ritov, and Dezeure (2014) On asymptotically optimal confidence regions and tests for high-dimensional models | 0.811 | 4 | 2 | 100% |
| 7 | Bybee, Kelly, Manela, and Xiu (2020) The structure of economic news | 0.737 | 3 | 2 | 100% |
| 8 | Andreou, Ghysels, and Kourtellos (2013) Should macroeconomic forecasters use daily financial data and how? | 0.644 | 2 | 2 | 100% |
| 9 | Newey and West (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix | 0.644 | 2 | 2 | 100% |
| 10 | Dedecker and Doukhan (2003) A new covariance inequality and applications | 0.585 | 3 | 1 | 100% |
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