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A FURTHER NOTE ON THE DETECTION OF GRANGER INSTANTANEOUS CAUSALITY |
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| Authors: | Allan P. Layton |
| Affiliation: | School of Social and Industrial Administration, Griffith University |
| Abstract: | Abstract. The purpose of this paper is to demonstrate that it is conceptually incorrect to examine the contemporaneous univariate residual cross-correlation between two time series in testing for the existence of instantaneous causality. |
| Keywords: | Granger instantaneous causality detection |