JSM Preliminary Online Program
This is the preliminary program for the 2006 Joint Statistical Meetings in Seattle, Washington.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2006 Program page

Activity Number: 468
Type: Contributed
Date/Time: Wednesday, August 9, 2006 : 2:00 PM to 3:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #305652
Title: Causality Tests in Cointegrated Systems and Temporal Aggregation of Multivariate Autoregressive Moving Average Processes
Author(s): Ceylan Yozgatligil*+ and William W. S. Wei
Companies: Temple University and Temple University
Address: 307 W. Side Drive, Apt. 301, Gaithersburg, MD, 20878,
Keywords: causality test ; cointegrated systems ; temporal aggregation ; error correction representation ; vector autoregressive moving average processes
Abstract:

Time-series data are usually sums or averages over time of data generated more frequently than the reporting interval and used routinely to test causality between variables. There are many studies on the distortion effect of temporal aggregation on causality. We develop a testing procedure based on the maximum likelihood estimation of the error correction representation to test causality in cointegrated system under temporal aggregation.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2006 program

JSM 2006 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised April, 2006