Granger causality and the sampling of economic processes

DOI10.1016/j.jeconom.2005.02.002zbMath1337.62377MaRDI 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

zbMATH Keywords

Granger causality; temporal aggregation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Testing for Granger causality with mixed frequency data, Frequency domain estimation of temporally aggregated Gaussian cointegrated systems, Granger causality and stopping times, Causality with finite horizon of the past in continuous time, Macroeconomics and the reality of mixed frequency data, Computing estimates of continuous time macroeconometric models on the basis of discrete data, ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES, ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG

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