Granger causality and the sampling of economic processes

    Research output: Contribution to journalArticlepeer-review

    35 Citations (Scopus)

    Abstract

    This paper provides a discussion of the developments in econometric modelling that are designed to deal with the problem of spurious Granger causality relationships that can arise from temporal aggregation. We outline the distortional effects of using discrete time models that explicitly depend on the unit of time and outline a remedy of constructing time-invariant discrete time models via a structural continuous time model. In an application to testing for money-income causality, we demonstrate the importance of incorporating exact temporal aggregation restrictions on the discrete time data. We do this by conducting causality tests in discrete time models that: (a) impose the temporal aggregation restrictions exactly, (b) impose the temporal aggregation restrictions approximately, and (c) do not impose these restrictions at all. (c) 2005 Elsevier B.V. All rights reserved.

    Original languageEnglish
    Pages (from-to)311-336
    Number of pages26
    JournalJournal of Econometrics
    Volume132
    Issue number2
    DOIs
    Publication statusPublished - Jun 2006

    Keywords

    • Granger causality
    • Temporal aggregation
    • Money-income causality
    • Continuous-time
    • Vector autogressions
    • Gaussian estimation

    Fingerprint

    Dive into the research topics of 'Granger causality and the sampling of economic processes'. Together they form a unique fingerprint.

    Cite this