tag:blogger.com,1999:blog-2198942534740642384.post4054333190963921883..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: The Econometrics of Temporal Aggregation - II - Causality TestingDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-2198942534740642384.post-2909132678699298752014-07-17T10:13:01.733-07:002014-07-17T10:13:01.733-07:00Nick - Given that Granger causality is all about p...Nick - Given that Granger causality is all about predictability, conditioned by an information set, anything that changes the latter may impact on GC. This fits in with your example. Re. stocks and flows - the units are not the issue, With flows we temporally aggregate, with stocks we generally "selectively sample" (unless we average over the higher frequency values). In general, this distinction is crucial, as the effects on the MA properties of the data are different in each case. See my presentation slides - http://web.uvic.ca/~dgiles/downloads/NZAE/slides.pdf - especially slides 10, 11, and 20.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-55012888947367408842014-07-17T04:51:56.434-07:002014-07-17T04:51:56.434-07:00Interesting post.
Trying to think of an example: ...Interesting post.<br /><br />Trying to think of an example: Suppose x is a forecast of y. Like Vancouver rainfall. Suppose rainfall follows a random walk at daily frequencies, so that yesterday's rainfall causes today's forecast of tomorrow's rainfall. But at annual frequencies, weather forecasters can watch what is happening in the Pacific, for signs of an approaching El Nino.<br /><br />(I don't think stocks or flows makes any difference, and the price of gas has the units $/litre, which is a stock divided by a stock, with no time dimension.)<br /><br />Nick Rowehttps://www.blogger.com/profile/04982579343160429422noreply@blogger.com