Title

Temporal aggregation, cointegration and causality inference

Date of this Version

12-1-2008

Document Type

Journal Article

Publication Details

Interim status: Citation only.

Rajaguru, G., & Abeysinghe, T. (2008). Temporal aggregation, cointegration and causality inference. Economics letters, 101(3), 223-226.

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2008 HERDC submission. FoR Code: 1403

© Copyright Elsevier B.V., 2008

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.

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This document has been peer reviewed.