Aggregation over time, error correction models and Granger causality:
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Publication:671688
DOI10.1016/0165-1765(96)00841-5zbMath0875.90190OpenAlexW2004485740MaRDI QIDQ671688
Publication date: 27 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(96)00841-5
Cites Work
- Forecasting and testing in co-integrated systems
- The effect of temporal aggregation on parameter estimation in distributed lag model
- Granger-causality in cointegrated VAR processes. The case of the term structure
- Inference in Linear Time Series Models with some Unit Roots
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Vector autoregression and causality: a theoretical overview and simulation study
- Error Correction and Long-Run Equilibrium in Continuous Time
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