EconPapers    
Economics at your fingertips  
 

Noncausality in Continuous Time

Jean-Pierre Florens and Denis Fougere ()

Econometrica, 1996, vol. 64, issue 5, 1195-1212

Abstract: Different concepts of noncausality for continuous time processes, using conditional independence and decomposition of semimartingales, are defined. As in the discrete-time setup, continuous time noncausality is a property concerned with the prediction horizon (global versus instantaneous noncausality) and the nature of the prediction (strong versus weak noncausality). Relations between the resulting continuous time noncausality concepts are then studied for the class of decomposable semimartingales for which, in general, the weak instantaneous noncausality does not imply the strong global noncausality. The paper then characterizes these different concepts in the case of counting processes and Markov processes. Copyright 1996 by The Econometric Society.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819960 ... O%3B2-F&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:64:y:1996:i:5:p:1195-1212

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Daron Acemoglu

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-11-06
Handle: RePEc:ecm:emetrp:v:64:y:1996:i:5:p:1195-1212