3 citations · 4 across the 5 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
econ.EM2023
High-Dimensional Granger Causality for Climatic Attribution
Marina Friedrich, Luca Margaritella, Stephan Smeekes
In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcing…
econ.EM2023
Inference in Non-stationary High-Dimensional VARs
Alain Hecq, Luca Margaritella, Stephan Smeekes
In this paper we construct an inferential procedure for Granger causality in high-dimensional non-stationary vector autoregressive (VAR) models. Our method does not require knowled…