Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure
We develop an LM test for Granger causality in high-dimensional (HD) vector autoregressive (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 ext