REVISITING ERROR AUTOCORRELATION CORRECTION: COMMON FACTOR RESTRICTIONS AND GRANGER CAUSALITY

Anya M. McGuirk and Aris Spanos

No 20176, 2004 Annual meeting, August 1-4, Denver, CO from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper demonstrates that linear regression models with an AR(1) error structure implicitly assume that y{t} does not Granger cause any of the exogenous variables in X{t}. An indirect test of the common factor restrictions based on this Granger non-causality is proposed and shown to outperform existing tests.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 24
Date: 2004
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea04:20176

DOI: 10.22004/ag.econ.20176

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