Revisiting Error Autocorrelation Correction: Common Factor Restrictions and Granger Non-Causality
نویسندگان
چکیده
This paper demonstrates that linear regression models with an AR(1) error structure implicitly assume that yt does not Granger cause any of the exogenous variables in Xt. An indirect test of the common factor restrictions based on this Granger non-causality is proposed and shown to outperform existing tests. ∗Copyright 2004 by Anya McGuirk and Aris Spanos. All rights reserved.
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تاریخ انتشار 2004