Impact of Systematic Sampling on Causality in the presence of Unit Roots
AbstractQuite contrary to the stationary case where systematic sampling preserves the direction of Granger causality, this paper shows that systematic sampling of integrated series may induce spurious causality, even if they are used in differenced form.
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Bibliographic InfoPaper provided by National University of Singapore, Department of Economics in its series Departmental Working Papers with number wp0210.
Length: 10 pages
Date of creation: 2002
Date of revision:
Systematic Sampling; Causality; Unit Roots; Cross covariance;
Other versions of this item:
- Rajaguru, Gulasekaran, 2004. "Impact of systematic sampling on causality in the presence of unit roots," Economics Letters, Elsevier, vol. 84(1), pages 127-132, July.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
- S. Cunningham & J. Vilasuso, 1995. "Time aggregation and causality tests: results from a monte carlo experiment," Applied Economics Letters, Taylor and Francis Journals, vol. 2(10), pages 403-405.
- 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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