Temporal aggregation, cointegration and causality inference

Gulasekaran Rajaguru; Tilak Abeysinghe

doi:10.1016/j.econlet.2008.08.012

Temporal aggregation, cointegration and causality inference

Gulasekaran Rajaguru
, Tilak Abeysinghe^*

^*Corresponding author for this work

Bond Business School

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

19 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 language	English
Pages (from-to)	223-226
Number of pages	4
Journal	Economics Letters
Volume	101
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2008.08.012
Publication status	Published - Dec 2008

Access to Document

10.1016/j.econlet.2008.08.012

Cite this

@article{adaa984e3ffd4e67b05d03c8d0fd98fb,

title = "Temporal aggregation, cointegration and causality inference",

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.",

author = "Gulasekaran Rajaguru and Tilak Abeysinghe",

year = "2008",

month = dec,

doi = "10.1016/j.econlet.2008.08.012",

language = "English",

volume = "101",

pages = "223--226",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "CA: Journal of Cultural Analytics",

number = "3",

}

TY - JOUR

T1 - Temporal aggregation, cointegration and causality inference

AU - Rajaguru, Gulasekaran

AU - Abeysinghe, Tilak

PY - 2008/12

Y1 - 2008/12

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/55549119219

U2 - 10.1016/j.econlet.2008.08.012

DO - 10.1016/j.econlet.2008.08.012

M3 - Article

AN - SCOPUS:55549119219

SN - 0165-1765

VL - 101

SP - 223

EP - 226

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Temporal aggregation, cointegration and causality inference

Abstract

Access to Document

Other files and links

Fingerprint

Cite this