CAUSALITY TESTING WITH MESSY DATA: SOME PRELIMINARY EXPERIMENTAL EVIDENCE

Edward N. Gamber and Michael A. Hudson

No 278982, 1984 Annual Meeting, August 5-8, Ithaca, New York from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Two tests for bivariate causal ordering. are examined using nonstationary data series with known causal structures. Instantaneous causality is often identified when not present due to the presence of the nonstationary components. Increased degrees of error covariance between the series leads to incorrect conclusions and collinearity problems in the tests.

Keywords: Agribusiness; Agricultural Finance; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 17
Date: 1984-08
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea84:278982

DOI: 10.22004/ag.econ.278982

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