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Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
16 references·6 citing·40 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 1977Forecasting Economic Time Series697 cited
  • 1987Interpreting Evidence on Money-Income Causality559 cited
  • 2002Vector Autoregressions and Reality413 cited
  • 1980Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered410 cited
  • 1987Vector Autoregressions and Reality177 cited
  • 1988Money does Granger-cause output in the bivariate money-output relation170 cited
  • 1986Temporal Aggregation and Structural Inference in Macroeconomics149 cited
  • 1983Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models149 cited
  • 1986Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?135 cited
  • 1987The Permanent Income Hypothesis Revisited125 cited
  • 1991The Permanent Income Hypothesis Revisited

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124 cited

Cited by

  • 2013Recursive Models of Dynamic Linear Economies96 cited
  • 1996Noncausality in Continuous Time Models50 cited
  • 1993Continuous-time models in macroeconomics: specification and estimation21 cited
  • 2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH*17 cited
  • 2009ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG17 cited
  • 2004Granger Causality and the Sampling of Economic Processes16 cited