Time aggregation and causality tests: results from a monte carlo experiment

S. Cunningham and Jon Vilasuso

Applied Economics Letters, 1995, vol. 2, issue 10, 403-405

Abstract: This paper examines the importance of time aggregation in causality testing. We find that temporal aggregates are between two and ten times more unlikely to detect a true causal relationship than are systematic sampled aggregates over short aggregation spans.

Date: 1995
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DOI: 10.1080/758519001

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