Before revision: Time series regression analysis relies on the heteroskedasticity- and autocorrelation-consistent (HAC) estimation of the asymptotic variance to conduct proper inference.
After revision: 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 to conduct proper inference.