论文信息 - Temporal aggregation, cointegration and causality inference

Temporal aggregation, cointegration and causality inference

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.

Gulasekaran Rajaguru | Tilak Abeysinghe | G. Rajaguru | T. Abeysinghe

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