Impact of systematic sampling on causality in the presence of unit roots

Gulasekaran Rajaguru*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

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 languageEnglish
Pages (from-to)127-132
Number of pages6
JournalEconomics Letters
Volume84
Issue number1
DOIs
Publication statusPublished - Jul 2004

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