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Aggregation over time, error correction models and Granger causality: A Monte Carlo investigation

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  • Mamingi, Nlandu

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  • 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.
  • Handle: RePEc:eee:ecolet:v:52:y:1996:i:1:p:7-14
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    References listed on IDEAS

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    1. Christiano, Lawrence J. & Eichenbaum, Martin, 1987. "Temporal aggregation and structural inference in macroeconomics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 26(1), pages 63-130, January.
    2. Wei, William W. S., 1978. "The effect of temporal aggregation on parameter estimation in distributed lag model," Journal of Econometrics, Elsevier, vol. 8(2), pages 237-246, October.
    3. 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.
    4. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
    5. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    6. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Granger-causality in cointegrated VAR processes The case of the term structure," Economics Letters, Elsevier, vol. 40(3), pages 263-268, November.
    7. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
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    Cited by:

    1. Zulfiqar, Farhad, 2010. "Estimation of Wheat Yield Response under different Economic, Location and Climatic Conditions in Punjab," MPRA Paper 26503, University Library of Munich, Germany.
    2. Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Temporal Aggregation, Causality Distortions, and a Sign Rule," Departmental Working Papers wp0406, National University of Singapore, Department of Economics.
    3. Rajaguru, Gulasekaran & Abeysinghe, Tilak, 2008. "Temporal aggregation, cointegration and causality inference," Economics Letters, Elsevier, vol. 101(3), pages 223-226, December.
    4. Kweon, Young-Jun & Lynn, Cheryl W., 2010. "Behind Traffic Fatality Reduction in 2008 in Virginia," 51st Annual Transportation Research Forum, Arlington, Virginia, March 11-13, 2010 207244, Transportation Research Forum.
    5. Rajaguru GULASEKARAN & Tilak ABEYSINGHE, 2002. "The Distortionary Effects Of Temporal Aggregation On Granger Causality," Departmental Working Papers wp0204, National University of Singapore, Department of Economics.
    6. Tang, Chor Foon, 2011. "Tourism, real output and real effective exchange rate in Malaysia: a view from rolling sub-samples," MPRA Paper 29379, University Library of Munich, Germany.

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