Fanelli, Luca (2006): Present value relations, Granger non-causality and VAR stability.
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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.
|Item Type:||MPRA Paper|
|Institution:||Department of Statistics, University of Bologna|
|Original Title:||Present value relations, Granger non-causality and VAR stability|
|Keywords:||Granger non causality; Present value model; VAR|
|Subjects:||C - Mathematical and Quantitative Methods > C0 - General > C00 - General|
|Depositing User:||Luca Fanelli|
|Date Deposited:||04. Feb 2007|
|Last Modified:||20. Feb 2013 19:43|
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