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Prefiltering and Causality Tests

Author

Listed:
  • Belongia, Michael T.
  • Dickey, David A.

Abstract

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

Suggested Citation

  • Belongia, Michael T. & Dickey, David A., 1982. "Prefiltering and Causality Tests," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 34(4), pages 1-5, October.
    • Handle: RePEc:ags:uersja:148971
    DOI: 10.22004/ag.econ.148971
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    Citations

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    Cited by:

    1. Ziemer, Rod F. & Collins, Glenn S., 1984. "Granger Causality And U.S. Crop And Livestock Prices," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 16(1), pages 1-6, July.
    2. Sarker, Rakhal, 1990. "Testing Causality in Economics: A Review," Department of Agricultural Economics and Business 258629, University of Guelph.
    3. Liapis, Peter S., 1989. "Estimation and Evaluation of Economic Community Wheat Export Subsidies," Staff Reports 278253, United States Department of Agriculture, Economic Research Service.
    4. Veeman, Michele M. & Veeman, Terrence S. & Dong, X.Y. & Sivasangaram, M., 1989. "Macro-Economic Influences on Alberta Agriculture," Project Report Series 232073, University of Alberta, Department of Resource Economics and Environmental Sociology.
    5. Veeman, Michele M. & Veeman, Terrence S. & Sivasangaram, M. & Dong, X.Y., 1989. "Macro-Economic Influences On Alberta Farmland Values," Project Report Series 232072, University of Alberta, Department of Resource Economics and Environmental Sociology.

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