Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?
In applied econometric literature, the causal inferences are often made based on temporally aggregated or systematically sampled data. A number of studies document that temporal aggregation has distorting effects on causal inference and systematic sampling of stationary variables preserves the direc...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-06-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/6/2/31 |