Granger causality and the sampling of economic processes.
This paper provides a discussion of the developments in econometric modelling that are designed to deal with the problem of spurious Granger causality relationships that can arise from temporal aggregation. We outline the distortional effects of using discrete time models that explicitly depend on t...
| Publicado en: | Journal of Econometrics Vol. 132; no. 2; pp. 311 - 337 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
June 2006
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |