True Versus Spurious Instantaneous Causality
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- Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics 0402002, EconWPA, revised 23 Mar 2005.
- Jonathan B. Hill, 2007.
"Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
- 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 15 Feb 2006.
- Hafner, Christian M., 2008.
"Temporal aggregation of multivariate GARCH processes,"
Journal of Econometrics,
Elsevier, vol. 142(1), pages 467-483, January.
- Hafner, C.M., 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers EI 2004-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
- Jonathan B. Hill, 2005. "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics 0503016, EconWPA, revised 23 Mar 2005.
- 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.
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Keywordsstatistical analysis ; economic models ; econometrics;
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