Title: Granger causality test in high dimensional VAR models: A post-double-selection procedure
Authors: Luca Margaritella - Maastricht University (Netherlands) [presenting]
Stephan Smeekes - Maastricht University (Netherlands)
Alain Hecq - Maastricht University (Netherlands)
Abstract: An asymptotic $F$-test procedure is developed in order to test for Granger causality in high-dimensional VAR models. A post-double-selection setup is outlined and the asymptotic properties of the test statistics are studied. The extensive Monte Carlo simulations compare different ways of choosing the right tuning-parameter. Positive performances of the proposed procedure in highly-parametrized scenarios are found. The routine is applied to investigate the money-income causality relation using the FRED-QD dataset.