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

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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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Sampling
Unit root
Causality
Granger causality
Integrated

Cite this

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title = "Impact of systematic sampling on causality in the presence of unit roots",
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.",
author = "Gulasekaran Rajaguru",
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language = "English",
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Impact of systematic sampling on causality in the presence of unit roots. / Rajaguru, Gulasekaran.

In: Economics Letters, Vol. 84, No. 1, 07.2004, p. 127-132.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - Impact of systematic sampling on causality in the presence of unit roots

AU - Rajaguru, Gulasekaran

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AB - 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.

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JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

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