Abstract
Quite contrary to the stationary case where systematic sampling preserves the direction of Granger causality, this paper shows that systematic sampling of integrated series may induce spurious causality, even if they are used in differenced form.
Original language | English |
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Pages (from-to) | 127-132 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 84 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jul 2004 |