Temporal aggregation, cointegration and causality inference

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 3
Pages: 223-226

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:3:p:223-226
Journal Field
General
Author Count
2
Added to Database
2026-01-24