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Persistent link: https://www.econbiz.de/10012094954
This article studies the sensitivity of Granger causality to the addition of noise, the introduction of subsampling, and the application of causal invertible filters to weakly stationary processes. Using canonical spectral factors and Wold decompositions, we give general conditions under which...
Persistent link: https://www.econbiz.de/10014109544