Testing for Causality¶
Granger, C. W. J. (1980). Testing for Causality: A Personal Viewpoint. Journal of Economic Dynamics and Control, 2, 329-352.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Aliasing
- In time-series and data analysis, aggregating a fast process into coarse bins folds rapid cycles into phantom slow ones: daily-sampled prices fold intraday volatility into false trends, monthly economic indicators fold week-to-week cycles into spurious seasonality, and a five-year census folds a three-year population oscillation into a fictitious long cycle.
This sourceEstablishes that temporal aggregation of a time series can fold a higher-frequency process into spurious lower-frequency structure (spurious causality/cycles) — the econometric instance of aggregation aliasing. (See also C. A. Sims, 1971, on temporal aggregation.)
- In time-series and data analysis, aggregating a fast process into coarse bins folds rapid cycles into phantom slow ones: daily-sampled prices fold intraday volatility into false trends, monthly economic indicators fold week-to-week cycles into spurious seasonality, and a five-year census folds a three-year population oscillation into a fictitious long cycle.
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