Granger causality and the sampling of economic processes
From MaRDI portal
Publication:291700
DOI10.1016/j.jeconom.2005.02.002zbMath1337.62377OpenAlexW3125544322MaRDI QIDQ291700
J. Roderick McCrorie, Marcus J. Chambers
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.uvt.nl/portal/en/publications/granger-causality-and-the-sampling-of-economic-processes(02e79e30-1761-4800-8824-7d4872f360fa).html
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (11)
Frequency domain estimation of temporally aggregated Gaussian cointegrated systems ⋮ Granger causality and stopping times ⋮ ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ Statistical causality, optional and predictable projections ⋮ Causality with finite horizon of the past in continuous time ⋮ Regularized bridge-type estimation with multiple penalties ⋮ Computing estimates of continuous time macroeconometric models on the basis of discrete data ⋮ Macroeconomics and the reality of mixed frequency data ⋮ Testing for Granger causality with mixed frequency data ⋮ On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
- Causality in temporal systems. Characterizations and a Survey
- Discrete time representation of stationary and non-stationary continuous time systems
- The problem of aliasing in identifying finite parameter continuous time stochastic models
- DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM
- Inference in Linear Time Series Models with some Unit Roots
- Note on the Correlation of First Differences of Averages in a Random Chain
- Temporal aggregation and spurious instantaneous causality in multiple time series models
- Testing for Common Trends
- Advertising and Aggregate Consumption: An Analysis of Causality
- Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
- Temporal Aggregation in the Multiple Regression Model
- Vector Autoregressions and Causality
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- Noncausality in Continuous Time
- Error Correction and Long-Run Equilibrium in Continuous Time
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Prediction with a Generalized Cost of Error Function
- Discrete Approximations to Continuous Time Distributed Lags in Econometrics
This page was built for publication: Granger causality and the sampling of economic processes
