Temporal Aggregation, Causality Distortions, and a Sign Rule
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- Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Girardin, Eric & Liu, Zhenya, 2007.
"The financial integration of China: New evidence on temporally aggregated data for the A-share market,"
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- Eric Girardin & Zhenya Liu, 2007. "The financial integration of China: New evidence on temporally aggregated data for the A-share market," Money Macro and Finance (MMF) Research Group Conference 2006 160, Money Macro and Finance Research Group.
More about this item
KeywordsGranger causality test; cointegration; error correction model; adjustment coefficient; sign rule;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
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