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Estimating integrated higher-order continuous time autoregressions with an application to money-income causality

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  • Harvey, A. C.
  • Stock, James H.

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  • Harvey, A. C. & Stock, James H., 1989. "Estimating integrated higher-order continuous time autoregressions with an application to money-income causality," Journal of Econometrics, Elsevier, vol. 42(3), pages 319-336, November.
  • Handle: RePEc:eee:econom:v:42:y:1989:i:3:p:319-336
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    Cited by:

    1. 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.
    2. Mariusz Maziarz, 2015. "A review of the Granger-causality fallacy," The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, vol. 8(2), May.
    3. repec:eee:dyncon:v:79:y:2017:i:c:p:48-65 is not listed on IDEAS
    4. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    5. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    6. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
    7. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310 Edward Elgar Publishing.
    8. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.

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