Impact of Systematic Sampling on Causality in the presence of Unit Roots
Quite 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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- 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 & Francis Journals, vol. 2(10), pages 403-405.
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