| Registro completo |
| Provedor de dados: |
AgEcon
|
| País: |
United States
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| Título: |
REVISITING ERROR AUTOCORRELATION CORRECTION: COMMON FACTOR RESTRICTIONS AND GRANGER CAUSALITY
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| Autores: |
McGuirk, Anya M.
Spanos, Aris
|
| Data: |
2004-05-17
|
| Ano: |
2004
|
| Palavras-chave: |
Research Methods/ Statistical Methods
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| Resumo: |
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.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
|
| Identificador: |
14261
http://purl.umn.edu/20176
|
| Editor: |
AgEcon Search
|
| Relação: |
American Agricultural Economics Association>2004 Annual meeting, August 1-4, Denver, CO
Selected Paper
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| Formato: |
24
application/pdf
|
