Premium
Temporal aggregation and spurious instantaneous causality in multiple time series models
Author(s) -
BREITUNG JÖRG,
SWANSON NORMAN R.
Publication year - 2002
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00284
Subject(s) - spurious relationship , mathematics , covariance , econometrics , series (stratigraphy) , causality (physics) , monte carlo method , interval (graph theory) , granger causality , time series , statistics , statistical physics , combinatorics , paleontology , physics , quantum mechanics , biology
Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the aggregated system. One of our main contributions is that we outline various conditions under which the informational content of error covariance matrices yields insight into the causal structure of the VAR. Monte Carlo results suggest that our asymptotic findings are applicable even when the aggregation interval is small, as long as the time series are not characterized by high levels of persistence.