Document Type

Article

Publication Date

12-1-1985

Keywords

causality tests, corn prices, dynamic multipliers, time series, aggregation across time, specification error, price discovery

Abstract

Aggregation across time has long been recognized as a potential source of specification error within time series modeling. This source of specification error has major implications for the use of causality tests in spatial equilibrium analyses. This study reviews the theoretical econometric literature to generate hypotheses which are empirically tested to illustrate the impacts of aggregation on causality tests. Granger causality tests for three major corn markets reveal one-way causality to be "fragile" with respect to changes in the level of time aggregation in data. Dynamic multipliers are discussed as being one method of checking the specification of the model.

Publisher

Department of Economics, South Dakota State University

Series Number

85-17

Number of Pages

26

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