Present value relations, Granger non-causality 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1642.
Date of creation: Dec 2006
Date of revision:
Granger non causality; Present value model; VAR;
Other versions of this item:
- Fanelli, Luca, 2007. "Present Value Relations, Granger Noncausality, And Var Stability," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1254-1260, December.
- C00 - Mathematical and Quantitative Methods - - General - - - General
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