Aggregation over time, error correction models and Granger causality: A Monte Carlo investigation
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 52 (1996)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
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- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Tilak Abeysinghe & Gulasekaran Rajaguru, 2004.
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- Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Temporal Aggregation, Causality Distortions, and a Sign Rule," Departmental Working Papers wp0406, National University of Singapore, Department of Economics.
- Rajaguru, Gulasekaran & Abeysinghe, Tilak, 2008. "Temporal aggregation, cointegration and causality inference," Economics Letters, Elsevier, vol. 101(3), pages 223-226, December.
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