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Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …

Persistent link: https://www.econbiz.de/10009578029

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Structural equation models for finite mixtures : simulation results and empirical applications

Temme, Dirk; Williams, John R.; Hildebrandt, Lutz - 2002

Unobserved heterogeneity is a serious but often neglected problem in structural equation modelling (SEM) challenging the validity of many empirical results. Recently, a finite mixture approach to SEM has been proposed to resolve this problem but until now only a few studies analyse the...

Persistent link: https://www.econbiz.de/10009621412

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. Moreover, two test statistics for testing the presence of interactions are...

Persistent link: https://www.econbiz.de/10009574875

On the effects of aggregating cointegrated variables over time

Müller-Kademann, Christian - 2002

aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …

Persistent link: https://www.econbiz.de/10009620772

Money demand in Europe : evidence from the past

Müller-Kademann, Christian; Hahn, Elke - 2000

both to the data sources and their aggregation, by providing a transparent account of our calculation procedure, which is … not yet common in the existing literature. -- european money demand ; monetary targeting ; aggregation …

Persistent link: https://www.econbiz.de/10009583887