Granger causality and the sampling of economic processes

By J. Roderick McCrorie, Marcus J. Chambers, Roderick Mccrorie. 2006

75 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/94366c792a2227b382e17d817000f0ad138634cc

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In Economics and Econometrics

Citations in the corpus

Testing for Granger Causality with Mixed Frequency Data (2016, unknown): “…has been extensively researched ever since, see notably Lütkepohl (1993), Renault et al. (1998), Marcellino (1999), Breitung and Swanson (2002), McCrorie and Chambers (2006), and Silvestrini and Veredas (2008), among others. http://dx.doi.org/10.1016/j.jeconom.2015.07.007 0304-4076/© 2016…”
Effective connectivity: Influence, causality and biophysical modeling (2011, methodology): “In econometrics, there are several papers that study the conditions in which under-sampled systems can avoid an implicit aliasing problem (Hansen and Sargent, 1983; Mccrorie and Chambers, 2006; Mccrorie, 2003).”
Trade Spill-Overs of Fiscal Policy in the European Union: A Panel Analysis (2006, unknown): “Although this conclusion is based on datasets in which the country-pairs forming a currency union tend to be very different from the Euro-area pairs in our data (the former pairs mostly involve smaller and poorer countries, while many of them are former colonies of industrialised countries), Micco e”
A study of problems encountered in Granger causality analysis from a neuroscience perspective (2017, result): “Analyses of the GG approach applied to more general processes, such as neural spiking data (2, 3), continuous-time processes (26), and systems with exogenous inputs and latent variables (4, 27), have been shown to produce results inconsistent with the known functional structure of the underlying sys”
Analysis of sampling artifacts on the Granger causality analysis for topology extraction of neuronal dynamics (2014, background): “It has been pointed out that GC is not invariant to the sampling interval (McCrorie and Chambers, 2006).”