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Temporal aggregation, cointegration and causality inference

Author

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  • Rajaguru, Gulasekaran
  • Abeysinghe, Tilak

Abstract

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.

Suggested Citation

  • Rajaguru, Gulasekaran & Abeysinghe, Tilak, 2008. "Temporal aggregation, cointegration and causality inference," Economics Letters, Elsevier, vol. 101(3), pages 223-226, December.
  • Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:223-226
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    4. 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.
    5. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
    6. 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.
    7. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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    Citations

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    Cited by:

    1. Gaston, Noel & Rajaguru, Gulasekaran, 2013. "How an export boom affects unemployment," Economic Modelling, Elsevier, vol. 30(C), pages 343-355.
    2. Tilak Abeysinghe & Gu Jiaying, 2009. "Does the IV estimator establish causality? Re-examining Chinese fertility-growth relationship," Microeconomics Working Papers 22758, East Asian Bureau of Economic Research.
    3. Gebhard Kirchgässner & Jürgen Wolters, 2010. "The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 221-253, March.
    4. Christian Dreger & Jürgen Wolters, 2011. "Money and Inflation in the Euro Area during the Financial Crisis," Discussion Papers of DIW Berlin 1131, DIW Berlin, German Institute for Economic Research.
    5. Ananda Jayawickrama & Tilak Abeysinghe, 2013. "The experience of some OECD economies on tax smoothing," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2305-2313, June.

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