Granger Causality Tests with Mixed Data Frequencies
Éric Ghysels, Rossen I. Valkanov · 2009
It is well known that temporal aggregation has adverse eects on Granger causality tests. Time series are often sampled at dieren t frequencies. This is typically ignored, as data are aggregated to the common lowest frequency. The paper shows that there are unexplored advantages to test Granger causality in combining the data sampled at the dieren t frequencies. We develop a set of Granger causality tests that take explicitly advantage of data sampled at dieren t frequencies. Besides theoretical derivations and simulation evidence, the paper also provides an empirical application.