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Some methodological comments on 'Public investment and private capital formation in a vector error-correction model of growth' by K. H. Ghali


  • Mudit Kulshreshtha
  • Barnali Nag


The note comments on the application of Granger non-causality tests of short-run vector error correction models as attempted by Ghali. It is noted that when the dimension of VAR is greater than two, block Granger causality needs to be performed, and that checking variable to variable causality has little meaning in multivariate context as the covariance matrix is positive definite. It is also noted that identification of cointegrating relationships does not provide information on short-run structural relationships, which requires modelling of contemporaneous innovations.

Suggested Citation

  • Mudit Kulshreshtha & Barnali Nag, 2000. "Some methodological comments on 'Public investment and private capital formation in a vector error-correction model of growth' by K. H. Ghali," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 581-583.
  • Handle: RePEc:taf:apeclt:v:7:y:2000:i:9:p:581-583
    DOI: 10.1080/13504850050059041

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