Temporal aggregation, cointegration and causality inference

Gulasekaran Rajaguru and Tilak Abeysinghe ()

Economics Letters, 2008, vol. 101, issue 3, pages 223-226

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.

Keywords: Causality; in; levels; Weak; exogeneity; Adjustment; coefficient; Sign; rule; Contemporaneous; conditioning (search for similar items in EconPapers)
Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:3:p:223-226

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