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 provides a method that weakens conditions under which the exact likelihood of a continuous-time vector autoregressive model can be derived. In particular, the method does not require the restrictions extant methods impose on discrete data that limit the applicability of...