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

Gulasekaran Rajaguru

doi:10.1016/j.econlet.2003.12.016

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

Gulasekaran Rajaguru^*

^*Corresponding author for this work

Bond Business School

Research output: Contribution to journal › Article › Research › peer-review

8 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 language	English
Pages (from-to)	127-132
Number of pages	6
Journal	Economics Letters
Volume	84
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2003.12.016
Publication status	Published - Jul 2004

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10.1016/j.econlet.2003.12.016

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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",

year = "2004",

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doi = "10.1016/j.econlet.2003.12.016",

language = "English",

volume = "84",

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journal = "Economics Letters",

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AU - Rajaguru, Gulasekaran

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N2 - 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.

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.

UR - https://www.scopus.com/pages/publications/2542418026

U2 - 10.1016/j.econlet.2003.12.016

DO - 10.1016/j.econlet.2003.12.016

M3 - Article

AN - SCOPUS:2542418026

SN - 0165-1765

VL - 84

SP - 127

EP - 132

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

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

Abstract

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