CAUSALITY TESTING WITH MESSY DATA: SOME PRELIMINARY EXPERIMENTAL EVIDENCE

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.


Issue Date:
1984-08
Publication Type:
Conference Paper/ Presentation
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/278982
Language:
English
Total Pages:
17




 Record created 2018-10-24, last modified 2020-10-28

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