Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
Rangan Gupta () and
Kibii Komen ()
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Kibii Komen: Department of Economics, University of Pretoria
No 200802, Working Papers from University of Pretoria, Department of Economics
The literature on causality takes contradictory stands regarding the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. Using the relationship between a nominal target and the instrument used to achieve it, as an example, we show that one can fall back upon the data in itself, and analyse it from the perspective of economic theory, not only as a source of second opinion to econometric theories and Monte Carlo simulations, but also to draw proper conclusions regarding the form of the causal relationship that might be actually existing in the data.
Keywords: Temporal Aggregation; Systematic Sampling; Granger Causality; Cointegration; Error Correction Models (search for similar items in EconPapers)
JEL-codes: C15 C32 C43 (search for similar items in EconPapers)
Pages: 19 pages
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:200802
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