Temporal aggregation and spurious instantaneous causality in multiple time series models

DOI10.1111/1467-9892.00284zbMath1113.62096OpenAlexW3121252153MaRDI QIDQ3440771

Norman R. Swanson, Jörg Breitung

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

causalitytemporal aggregationvector autoregressionmultiple time series model

Mathematics Subject Classification ID

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

Related Items (13)

Granger causality and the sampling of economic processes ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ Unnamed Item ⋮ AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS ⋮ Causality and forecasting in temporally aggregated multivariate GARCH processes ⋮ Causal network reconstruction from time series: From theoretical assumptions to practical estimation ⋮ Macroeconomics and the reality of mixed frequency data ⋮ Testing for Granger causality in large mixed-frequency VARs ⋮ MIDAS Regressions: Further Results and New Directions ⋮ Testing for Granger causality with mixed frequency data ⋮ A spectral measure for the information loss of temporal aggregation ⋮ On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling ⋮ A class of optimal tests for contemporaneous non-causality in VAR models

Cites Work

• Causality in temporal systems. Characterizations and a Survey
• THE ET INTERVIEW: PROFESSOR GEORGE C. TIAO
• Unnamed Item

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