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...
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
MDPI AG
2015-04-01
|
| Colección: | Econometrics |
| Materias: | |
| Acceso en línea: | http://www.mdpi.com/2225-1146/3/2/233 |
| Etiquetas: |
Sin Etiquetas, Sea el primero en etiquetar este registro!
|