Please use this identifier to cite or link to this item:
|Title:||Temporal aggregation, cointegration and causality inference|
Causality in levels
|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|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Feb 16, 2019
WEB OF SCIENCETM
checked on Feb 6, 2019
checked on Dec 16, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.