Wednesday, July 16, 2014

Riding With the Reverand

Last week, outside Peter Jackson's ("Lord of the Rings", "The Hobbit") Weka Studios in Wellington, New Zealand, I happened to spy..........

All aboard! Let's get this bus on the road.

© 2014, David E. Giles

The Econometrics of Temporal Aggregation - II - Causality Testing

In my recent post about my presentation at the recent conference of the N.Z. Association of Economists, I promised some follow-up posts of a more specific nature. I thought I'd begin with some brief comments about the effects of temporal aggregation on Granger causality.

By temporal aggregation, I'm referring to the situation where the economic activity takes place at some frequency (say daily), but our time-series data are recorded at only a lower frequency (say monthly). My use of the word "aggregation' tells you that we're "adding up" the data over time - so, at least implicitly, I'm thinking about flow data.

How does this sort of aggregation impact on Granger causality?