Temporal aggregation and spurious instantaneous causality in multiple time series models

Journal of Time Series Analysis

Volumn 23, Issue 6, 2002, Pages 651-665

  Breitung, Jörg ^a   Swanson, Norman R ^a  

^a UNIVERSITY OF GÖTTINGEN   (Germany)

Author keywords

Contemporaneous correlation; Granger causality; Instantaneous causality; Stock and flow variables; Temporal aggregation

Indexed keywords

EID: 0038893897     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00284     Document Type: Article

References (17)

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