Temporal aggregation, cointegration and causality inference
Temporal aggregation creates contemporaneous correlations, alters dynamic links and may distort causality inference. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper presents a sign rule for causal inference and contemporaneous conditioning in regression models.
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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.
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- Grayham E. Mizon & David F. Hendry, 1998. "Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK," Empirical Economics, Springer, vol. 23(3), pages 267-294.
- Mosconi, Rocco & Giannini, Carlo, 1992. "Non-causality in Cointegrated Systems: Representation Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 399-417, August.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
- Mamingi, Nlandu, 1996. "Aggregation over time, error correction models and Granger causality: A Monte Carlo investigation," Economics Letters, Elsevier, vol. 52(1), pages 7-14, July.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
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