A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models
It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if th...
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| Format: | Artigo |
| Sprog: | Inglês |
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MDPI AG
2015-04-01
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| Serier: | Econometrics |
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| Online adgang: | http://www.mdpi.com/2225-1146/3/2/233 |
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