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Granger causality and the sampling of economic processes

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Author Info
McCrorie, J. Roderick
Chambers, Marcus J.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 132 (2006)
Issue (Month): 2 (June)
Pages: 311-336
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Handle: RePEc:eee:econom:v:132:y:2006:i:2:p:311-336

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lawrence J. Christiano & Martin S. Eichenbaum, 1986. "Temporal Aggregation and Structural Inference in Macroeconomics," NBER Technical Working Papers 0060, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May. [Downloadable!] (restricted)
  3. Renault, Eric & Sekkat, Khalid & Szafarz, Ariane, 1998. "Testing for spurious causality in exchange rates," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 47-66, January. [Downloadable!] (restricted)
    Other versions:
  4. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-93, November. [Downloadable!] (restricted)
    Other versions:
  5. Bergstrom, A. R. & Nowman, K. B. & Wymer, C. R., 1992. "Gaussian estimation of a second order continuous time macroeconometric model of the UK," Economic Modelling, Elsevier, vol. 9(4), pages 313-351, October. [Downloadable!] (restricted)
  6. James H. Stock & Mark W. Watson, 1987. "Interpreting Evidence on Money-Income Causality," NBER Working Papers 2228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 3.
  8. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January. [Downloadable!] (restricted)
  9. Granger, C.W.J. & Thomson, P. J., 1987. "Predictive Consequences of Using Conditioning or Causal Variables," Econometric Theory, Cambridge University Press, vol. 3(01), pages 150-152, February. [Downloadable!]
  10. McCrorie, J. Roderick, 2000. "Deriving The Exact Discrete Analog Of A Continuous Time System," Econometric Theory, Cambridge University Press, vol. 16(06), pages 998-1015, December. [Downloadable!]
  11. Chambers, M.J. & McCrorie, J.R., 2004. "Identification and estimation of exchange rate models with unobservable fundamentals," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  12. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  13. repec:cup:etheor:v:12:y:1996:i:2:p:215-56 is not listed on IDEAS
  14. Boudjellaba, B. & Dufour, J.M. & Roy, R., 1991. "Testing Causality Between Two Vectors in Multivariate Arma Models," Cahiers de recherche 9119, Universite de Montreal, Departement de sciences economiques.
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  15. Florens, Jean-Pierre & Fougere, Denis, 1996. "Noncausality in Continuous Time," Econometrica, Econometric Society, vol. 64(5), pages 1195-1212, September. [Downloadable!] (restricted)
  16. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
  17. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211. [Downloadable!] (restricted)
  18. Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May. [Downloadable!] (restricted)
  19. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier. [Downloadable!] (restricted)
  20. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July. [Downloadable!] (restricted)
  21. David A. Pierce & Larry D. Haugh, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
  22. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January. [Downloadable!] (restricted)
  23. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-80, July. [Downloadable!] (restricted)
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  24. Comte, F. & Renault, E., 1996. "Noncausality in Continuous Time Models," Econometric Theory, Cambridge University Press, vol. 12(02), pages 215-256, June. [Downloadable!]
  25. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Enrique Sentana & Antonio Diez de los Rios, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers wp2007_0714, CEMFI. [Downloadable!]
    Other versions:
  2. Daniel Ventosa-Santaulària & José Eduardo Vera-Valdés, 2008. "Granger-Causality in the presence of structural breaks," Economics Bulletin, Economics Bulletin, vol. 3(61), pages 1-14. [Downloadable!]
  3. Chambers, M.J. & McCrorie, J.R., 2004. "Identification and estimation of exchange rate models with unobservable fundamentals," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  4. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Papers 41, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
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