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...

This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the model estimated by Gardeazabal, Regulez and Vazquez (International Economic Review, 1997) is not identified and demonstrate how to...

This paper considers tests for a unit root in a flow variable when the span of data and/or the sampling frequency are allowed to vary. The limiting distributions of the statistics are obtained under both the null and alternative hypotheses, thereby enabling an analysis of the consistency...