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- 2018
Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?DOI: https://doi.org/10.3390/econometrics6020031 Keywords: systematic sampling, granger causality, cross covariance, high frequency financial data Abstract: Abstract 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 direction of causality. Contrary to the stationary case, this paper shows for the bivariate VAR(1) system that systematic sampling induces spurious bi-directional Granger causality among the variables if the uni-directional causality runs from a non-stationary series to either a stationary or a non-stationary series. An empirical exercise illustrates the relative usefulness of the results further. View Full-Tex
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