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Original Articles

Time aggregation and causality tests: results from a monte carlo experiment

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Pages 403-405 | Received 25 May 1995, Published online: 02 Nov 2006

References

  • Brewer , K. 1973 . Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models . Journal of Econometrics , 1 : 133 – 54 .
  • Geweke , J. 1982 . Measurement of linear dependence and feedback between multiple time series . Journal of the American Statistical Association , 77 : 304 – 13 .
  • Rossana , R. and Seater , J. 1992 . Aggregation, unit roots and the time series structure of manufacturing real wages . International Economic Review , 33 : 159 – 79 .
  • Tiao , G. 1972 . Asymptotic behavior of temporal aggregates of time series . Biometrika , 59 : 525 – 31 .
  • Wei , W. 1982 . The effects of systematic sampling and temporal aggregation on causality – a cautionary note . Journal of the American Statistical Association , 77 : 316 – 19 .
  • Weiss , A. 1984 . Systematic sampling and temporal aggregation in time series models . Journal of Econometrics , 26 : 271 – 81 .

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