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|Title:||Temporal aggregation, cointegration and causality inference||Authors:||Rajaguru, G.
Causality in levels
|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|
|Appears in Collections:||Staff Publications|
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