Abeysinghe, Tilak; Rajaguru, Gulasekaran - Department of Economics, National University of Singapore - 2003
Temporally aggregated data is a bane for Granger causality tests. The same set of variables may lead to contradictory causality inferences at different levels of temporal aggregation. Obtaining temporally disaggregated data series is impractical in many situations. Since cointegration is...