Granger Causality and U.S. Crop and Livestock Prices

Granger Causality and U.S. Crop and Livestock Prices

Agricultural economists have recently been attracted to procedures suggested by Granger and others which allow observed data to reveal causal relationships. Results of this study indicate that “causality” tests can be ambiguous in identifying behavioral relationships between agricultural price varia...

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Veröffentlicht in:Journal of agricultural and applied economics 1984-07, Vol.16 (1), p.115-120
Hauptverfasser: Ziemer, Rod F., Collins, Glenn S.
Format: Artikel
Sprache:eng
Schlagworte:
autoregressive processes
causality tests
Granger causality
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Beschreibung
Zusammenfassung:Agricultural economists have recently been attracted to procedures suggested by Granger and others which allow observed data to reveal causal relationships. Results of this study indicate that “causality” tests can be ambiguous in identifying behavioral relationships between agricultural price variables. Caution is suggested when using such procedures for model choice.
ISSN:1074-0708
0081-3052
2056-7405
0081-3052
DOI:10.1017/S0081305200016599