The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Sep, 1996, Volume 64, Issue 5
https://doi.org/0012-9682(199609)64:5<1195:NICT>2.0.CO;2-F
p. 1195-1212
Denis Fougere, Jean-Pierre Florens
In this paper, we define different concepts of noncausality for continuous-time processes, using conditional independence and decomposition of semi-martingales. These definitions extend the ones already given in the case of discrete-time processes. 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 semi-martingales, for which, in general, the weak instantaneous noncausality does not imply the strong global noncausality. The paper than characterizes these different concepts of noncausality in the cases of counting processes and Markov processes.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
