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Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.econlet.2008.08.012
DC FieldValue
dc.titleTemporal aggregation, cointegration and causality inference
dc.contributor.authorRajaguru, G.
dc.contributor.authorAbeysinghe, T.
dc.date.accessioned2011-02-24T06:55:16Z
dc.date.available2011-02-24T06:55:16Z
dc.date.issued2008
dc.identifier.citationRajaguru, 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
dc.identifier.issn01651765
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/19986
dc.description.abstractTemporal 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.econlet.2008.08.012
dc.sourceScopus
dc.subjectAdjustment coefficient
dc.subjectCausality in levels
dc.subjectContemporaneous conditioning
dc.subjectSign rule
dc.subjectWeak exogeneity
dc.typeArticle
dc.contributor.departmentECONOMICS
dc.description.doi10.1016/j.econlet.2008.08.012
dc.description.sourcetitleEconomics Letters
dc.description.volume101
dc.description.issue3
dc.description.page223-226
dc.description.codenECLED
dc.identifier.isiut000261598500020
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