Temporal aggregation and spurious instantaneous causality in multiple time series models

DOI10.1111/1467-9892.00284MaRDI QIDQ3440771zbMATH OpenOpenAlexFDO

Authors Jörg Breitung, Norman R. Swanson

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00284

zbMATH Keywords

causalitymultiple time series modeltemporal aggregationvector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Causality and forecasting in temporally aggregated multivariate GARCH processes
• Implications of temporal aggregation on the relation between two time series
• Temporal aggregation in structural VAR models
• Granger causality and the sampling of economic processes
• Aggregation over time, error correction models and Granger causality:

Cites work

• Causality in temporal systems. Characterizations and a Survey
• scientific article; zbMATH DE number 1493045 (Why is no real title available?)
• THE ET INTERVIEW: PROFESSOR GEORGE C. TIAO

Cited in

(22)

• MIDAS Regressions: Further Results and New Directions
• A class of optimal tests for contemporaneous non-causality in VAR models
• Temporal aggregation in first order cointegrated vector autoregressive models
• Granger causality and the sampling of economic processes
• Causal inference with multiple time series: principles and problems
• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• Causality and forecasting in temporally aggregated multivariate GARCH processes
• Implications of temporal aggregation on the relation between two time series
• Temporal aggregation in structural VAR models
• Causal network reconstruction from time series: from theoretical assumptions to practical estimation
• scientific article; zbMATH DE number 7387618 (Why is no real title available?)
• The use of aggregate time series for testing conditional heteroscedasticity
• AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS
• Testing for Granger causality with mixed frequency data
• Aggregation over time, error correction models and Granger causality:
• SVAR identification with nowcasted macroeconomic data
• Causal relationships between cryptocurrencies: the effects of sampling interval and sample size
• The Effects of Temporal Aggregation on MIDAS Regressions
• Macroeconomics and the reality of mixed frequency data
• Testing for Granger causality in large mixed-frequency VARs
• Robust Conditional Kurtosis and the Cross-Section of International Stock Returns
• A spectral measure for the information loss of temporal aggregation

This page was built for publication: Temporal aggregation and spurious instantaneous causality in multiple time series models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440771)