Abstract
This study analyses the effects of mixed sampling on Granger causality, where both temporal aggregation and systematic sampling filters are used in the same model. From a theoretical perspective, it derives a condition under which mixed sampling induces spurious Granger causality in a bivariate non-cointegrated setup. It finds that mixed sampling does not induce feedback causal distortion if causality runs from a stationary stock variable to either a stationary or a non-stationary flow variable. In all other cases, it induces a spurious bi-directional feedback Granger causality from a unidirectional causal relationship. An empirical exercise on the causality between the cryptocurrencies of Bitcoin and Ethereum illustrates the usefulness of the results
| Original language | English |
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| Number of pages | 25 |
| Publication status | Unpublished - 10 Jan 2023 |
| Event | 2023 Asia Meeting of the Econometric Society, South Central and Western Asia, Mumbai, India - INDIAN INSTITUTE OF TECHNOLOGY BOMBAY (IITB), Mumbai, India Duration: 10 Jan 2023 → 12 Jan 2023 https://www.econometricsociety.org/regional-activities/schedule/2023/01/10/2023-Asia-Meeting-of-the-Econometric-Society-South-Central-and-Western-Asia-Mumbai-India#:~:text=The%202023%20Asia%20Meeting%20of,K%20Narayanan%20(IIT%20Bombay). (2023 Asia Meeting of the Econometric Society, South Central and Western Asia, Mumbai, India) |
Conference
| Conference | 2023 Asia Meeting of the Econometric Society, South Central and Western Asia, Mumbai, India |
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| Country/Territory | India |
| City | Mumbai |
| Period | 10/01/23 → 12/01/23 |
| Other | Time Series Econometrics, 20:00-21:45 Tuesday, 10 January, 2023 |
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