Aggregation over time, error correction models and Granger causality:

DOI10.1016/0165-1765(96)00841-5MaRDI QIDQ671688zbMATH OpenOpenAlexFDO

Authors Nlandu Mamingi

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(96)00841-5

zbMATH Keywords

Aggregation over timeCointegrationError correction modelsGranger causality

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Granger causality and the sampling of economic processes
• Temporal aggregation and spurious instantaneous causality in multiple time series models
• Implications of temporal aggregation on the relation between two time series
• On spurious Granger causality

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Error Correction and Long-Run Equilibrium in Continuous Time
• Forecasting and testing in co-integrated systems
• Granger-causality in cointegrated VAR processes. The case of the term structure
• Inference in Linear Time Series Models with some Unit Roots
• The effect of temporal aggregation on parameter estimation in distributed lag model
• Vector autoregression and causality: a theoretical overview and simulation study

Cited in

(3)

• Mean lag in general error correction models
• Temporal aggregation and spurious instantaneous causality in multiple time series models
• Implications of temporal aggregation on the relation between two time series

This page was built for publication: Aggregation over time, error correction models and Granger causality:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q671688)