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 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
June 2006
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511295061&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511295061 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: June 2006 vid: 132 iid: 2 pid: 1004 pub: Elsevier Science artinfo: ui: 511295061 10.1016/j.jeconom.2005.02.002 ppf: 311 ppct: 26 formats: tig: atl: Granger causality and the sampling of economic processes. aug: au: McCrorie, J. Roderick Chambers, Marcus J. su: Aggregation (Statistics) Causal models Time series analysis sug: subj: Aggregation (Statistics) Causal models Time series analysis ab: 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 the unit of time and outline a remedy of constructing time-invariant discrete time models via a structural continuous time model. In an application to testing for money-income causality, we demonstrate the importance of incorporating exact temporal aggregation restrictions on the discrete time data. We do this by conducting causality tests in discrete time models that: (a) impose the temporal aggregation restrictions exactly, (b) impose the temporal aggregation restrictions approximately, and (c) do not impose these restrictions at all. Copyright (c) 2006 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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