Prefiltering and Causality Tests

If data series are not filtered properly prior to the construction of a test of causality, the resulting test statistics are invalid This article,describes a general approach to data filtering based on the estimation of autoregressive-moving-average models and on specific tests for the Identification of white noise processes For selected examples, traditional approaches to filtering do not perform as well as the general method proposed

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Year of publication:	1982
Authors:	Belongia, Mike ; Dickey, David A.
Published in:	Agricultural Economics Research. - Economic Research Service. - 1982, 4
Publisher:	Economic Research Service
Subject:	Causality tests \| data filtering \| econometric exogeneity \| Production Economics \| Research Methods/ Statistical Methods

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010919752