TY  - UNPB
Y1  - 2006/12//
A1  - Fanelli, Luca
EP  - 8
ID  - mpra1642
AV  - public
N1  - Unpublished
UR  - https://mpra.ub.uni-muenchen.de/1642/
KW  - Granger non causality; Present value model; VAR
TI  - Present value relations, Granger non-causality and VAR stability
N2  - 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.
ER  -