Present Value Relations, Granger Noncausality, And Var Stability
When 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.
(This abstract was borrowed from another version of this item.)
Volume (Year): 23 (2007)
Issue (Month): 06 (December)
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