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
Appears in Collections:Staff Publications

Show simple item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

11
checked on Jul 26, 2021

WEB OF SCIENCETM
Citations

9
checked on Jul 26, 2021

Page view(s)

274
checked on Jul 11, 2021

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.