I have a panel data which had autocorrelation problem. I used cochrane orcutt method to remove autocorrelation problem with this data. If so, does this also mean that I removed the causality problem as well?
The Cochrane-Orcutt FGLS estimator makes a number of strong assumptions, one of which is that the regressor is strictly exogenous ($x_t$ is uncorrelated with past, present and future values of the disturbance term). This means that you have not remedied the causality problem by using it, and that it relies on the absence of endogeneity to work.