Impact of Systematic Sampling on Causality in the presence of Unit Roots

Quite contrary to the stationary case where systematic sampling preserves the direction of Granger causality, this paper shows that systematic sampling of integrated series may induce spurious causality, even if they are used in differenced form.

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Year of publication:	2002
Authors:	GULASEKARAN, Rajaguru
Institutions:	Department of Economics, National University of Singapore
Subject:	Systematic Sampling \| Causality \| Unit Roots \| Cross covariance

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	10 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C43 - Index Numbers and Aggregation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649825