Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.econlet.2008.08.012
Title: Temporal aggregation, cointegration and causality inference
Authors: Rajaguru, G.
Abeysinghe, T. 
Keywords: Adjustment coefficient
Causality in levels
Contemporaneous conditioning
Sign rule
Weak exogeneity
Issue Date: 2008
Citation: Rajaguru, G., Abeysinghe, T. (2008). Temporal aggregation, cointegration and causality inference. Economics Letters 101 (3) : 223-226. ScholarBank@NUS Repository. https://doi.org/10.1016/j.econlet.2008.08.012
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.©2008 Elsevier B.V. All rights reserved.
Source Title: Economics Letters
URI: http://scholarbank.nus.edu.sg/handle/10635/19986
ISSN: 01651765
DOI: 10.1016/j.econlet.2008.08.012
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