Temporal aggregation, cointegration and causality inference

Gulasekaran Rajaguru, Tilak Abeysinghe*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

Abstract

Temporal aggregation creates contemporaneous correlations, alters dynamic links and may distort causality inference. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper presents a sign rule for causal inference and contemporaneous conditioning in regression models.

Original languageEnglish
Pages (from-to)223-226
Number of pages4
JournalEconomics Letters
Volume101
Issue number3
DOIs
Publication statusPublished - Dec 2008

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