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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 |
| Appears in Collections: | Staff Publications |
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