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Noncausality in Continuous Time Models

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  • Comte, F.
  • Renault, E.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 02 (June)
Pages: 215-256

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Handle: RePEc:cup:etheor:v:12:y:1996:i:02:p:215-256_00

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Cited by:
  1. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics 0407013, EconWPA, revised 17 May 2005.
  2. McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, vol. 132(2), pages 311-336, June.
  3. Comte, F., 1998. "Discrete and continuous time cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 207-226, November.
  4. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  5. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  6. Petrović, Ljiljana & Dimitrijević, Sladjana, 2012. "Causality with finite horizon of the past in continuous time," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1219-1223.
  7. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  8. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.

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