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Economics Letters
Volumn 52, Issue 1, 1996, Pages 7-14
Aggregation over time, error correction models and Granger causality: A Monte Carlo investigation
Author keywords

Aggregation over time; Cointegration; Error correction models; Granger causality
Indexed keywords

EID: 0030305828     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(96)00841-5     Document Type: Article
Times cited : (7)
References (10)
  • 2
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation and testing
    • Engle, R.F. and C.W.J. Granger, 1987, Cointegration and error correction: Representation, estimation and testing, Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 3
    • 45949119851 scopus 로고
    • Forecasting and testing in cointegrated systems
    • Engle, R.F. and B.S. Yoo, 1987, Forecasting and testing in cointegrated systems, Journal of Econometrics 35, 143-159.
    • (1987) Journal of Econometrics , vol.35 , pp. 143-159
    • Engle, R.F.1    Yoo, B.S.2
  • 4
    • 44049109348 scopus 로고
    • Granger causality in cointegrated VAR processes: The case of term structure
    • Lütkephol, H. and H.E. Reimers, 1992, Granger causality in cointegrated VAR processes: The case of term structure, Economics Letters 40, 263-268.
    • (1992) Economics Letters , vol.40 , pp. 263-268
    • Lütkephol, H.1    Reimers, H.E.2
  • 6
    • 84981636213 scopus 로고
    • Non-causality in cointegrated systems: Representation, estimation and testing
    • Mosconi, R. and C. Giannini, 1992, Non-causality in cointegrated systems: Representation, estimation and testing, Oxford Bulletin of Economics and Statistics 54, 399-417.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 399-417
    • Mosconi, R.1    Giannini, C.2
  • 7
    • 0001102468 scopus 로고
    • Error correction and long-run equilibrium in continuous time
    • Phillips, P.C.B., 1991, Error correction and long-run equilibrium in continuous time, Econometrica 59, 967-980.
    • (1991) Econometrica , vol.59 , pp. 967-980
    • Phillips, P.C.B.1
  • 8
    • 0000745315 scopus 로고
    • Inference in linear time series models with some unit roots
    • Sims, C.A., J.H. Stock and M.W. Watson, 1990, Inference in linear time series models with some unit roots, Econometrica 58, 113-144.
    • (1990) Econometrica , vol.58 , pp. 113-144
    • Sims, C.A.1    Stock, J.H.2    Watson, M.W.3
  • 9
    • 84947516512 scopus 로고
    • Vector autoregression and causality: A theoretical overview and simulation study
    • Toda, Y.H. and P.C.B. Phillips, 1994, Vector autoregression and causality: A theoretical overview and simulation study, Econometric Reviews 13, 259-285.
    • (1994) Econometric Reviews , vol.13 , pp. 259-285
    • Toda, Y.H.1    Phillips, P.C.B.2
  • 10
    • 0011604203 scopus 로고
    • The effect of temporal aggregation on parameter estimation in distributed lag model
    • Wei, W.W.S., 1978, The effect of temporal aggregation on parameter estimation in distributed lag model, Journal of Econometrics 8, 237-246.
    • (1978) Journal of Econometrics , vol.8 , pp. 237-246
    • Wei, W.W.S.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.