文章基本信息

标题：REVISITING ERROR AUTOCORRELATION CORRECTION: COMMON FACTOR RESTRICTIONS AND GRANGER CAUSALITY
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作者：McGuirk, Anya M. ; Spanos, Aris
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2004
期号：SUPPL
出版社：Food Distribution Research Society
摘要：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.