Time aggregation and causality tests: results from a monte carlo experiment
AbstractThis paper examines the importance of time aggregation in causality testing. We find that temporal aggregates are between two and ten times more unlikely to detect a true causal relationship than are systematic sampled aggregates over short aggregation spans.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 2 (1995)
Issue (Month): 10 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- Rajaguru, Gulasekaran, 2004.
"Impact of systematic sampling on causality in the presence of unit roots,"
Elsevier, vol. 84(1), pages 127-132, July.
- Rajaguru GULASEKARAN, 2002. "Impact of Systematic Sampling on Causality in the presence of Unit Roots," Departmental Working Papers wp0210, National University of Singapore, Department of Economics.
- Bolkesjø, Torjus F. & Buongiorno, Joseph, 2006. "Short- and long-run exchange rate effects on forest product trade: Evidence from panel data," Journal of Forest Economics, Elsevier, vol. 11(4), pages 205-221, January.
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