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

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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",

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AU - Abeysinghe, Tilak

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SP - 223

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JO - Economics Letters

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Temporal aggregation, cointegration and causality inference

Abstract

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