Article ID Journal Published Year Pages File Type
5061832 Economics Letters 2008 4 Pages PDF
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.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Temporal aggregation, cointegration and causality inference
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