Temporal aggregation, cointegration and causality inference
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.
Year of publication: |
2008
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Authors: | Rajaguru, Gulasekaran ; Abeysinghe, Tilak |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 223-226
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Publisher: |
Elsevier |
Keywords: | Causality in levels Weak exogeneity Adjustment coefficient Sign rule Contemporaneous conditioning |
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