Showing 1 - 9 of 9
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...
Persistent link: https://www.econbiz.de/10005362187
We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the deviations from a long-run relationship. What is noteworthy about this MA unit root test, based on a variance-difference, is that, instead of having to deal with non-standard...
Persistent link: https://www.econbiz.de/10009365337
We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the deviations from a long-run relationship. What is noteworthy about this MA unit root test, based on a variance-difference, is that, instead of having to deal with non-standard...
Persistent link: https://www.econbiz.de/10009365465
Persistent link: https://www.econbiz.de/10006880038
Persistent link: https://www.econbiz.de/10008143056
Persistent link: https://www.econbiz.de/10008897544
In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...
Persistent link: https://www.econbiz.de/10005063635
Temporally aggregated data is a bane for Granger causality tests. The same set of variables may lead to contradictory causality inferences at different levels of temporal aggregation. Obtaining temporally disaggregated data series is impractical in many situations. Since cointegration is...
Persistent link: https://www.econbiz.de/10005702583
The growing affluence of the East and Southeast Asian economies has come about through a substantial increase in their economic links with the rest of the world, the OECD economies in particular. Econometric studies that try to quantify these links face a severe shortage of high-frequency time...
Persistent link: https://www.econbiz.de/10005635521