Present Value Relations, Granger Noncausality, And Var Stability
AbstractWhen in "exact" present value (PV) relations the decision variables do not Granger cause the explanatory variables and a VAR process is used to derive restrictions, the system embodies explosive roots. Hence any test of the PV restrictions would reject the null if the system incorporates Granger non-causality constraints. This paper investigates the issue.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 23 (2007)
Issue (Month): 06 (December)
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Other versions of this item:
- Fanelli, Luca, 2006. "Present value relations, Granger non-causality and VAR stability," MPRA Paper 1642, University Library of Munich, Germany.
- C00 - Mathematical and Quantitative Methods - - General - - - General
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