Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
AbstractThe literature on causality takes contradictory stands regarding the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. Using the relationship between a nominal target and the instrument used to achieve it, as an example, we show that one can fall back upon the data in itself, and analyse it from the perspective of economic theory, not only as a source of second opinion to econometric theories and Monte Carlo simulations, but also to draw proper conclusions regarding the form of the causal relationship that might be actually existing in the data.
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Bibliographic InfoPaper provided by University of Pretoria, Department of Economics in its series Working Papers with number 200802.
Length: 19 pages
Date of creation: Feb 2008
Date of revision:
Temporal Aggregation; Systematic Sampling; Granger Causality; Cointegration; Error Correction Models;
Find related papers by JEL classification:
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-23 (All new papers)
- NEP-ECM-2008-02-23 (Econometrics)
- NEP-HPE-2008-02-23 (History & Philosophy of Economics)
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