When in the class of “exact” present value (PV) relations the decision variables do not Granger cause the explanatory variables, and a vector autoregressive (VAR) process is used to derive the cross-equation restrictions, the system embodies explosive roots, which hardly can be reconciled with the typical features observed in most macroeconomic time series. This paper investigates the issue.

L. Fanelli (2007). PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY. ECONOMETRIC THEORY, 23 (6), 1254-1260.

PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY

FANELLI, LUCA
2007

Abstract

When in the class of “exact” present value (PV) relations the decision variables do not Granger cause the explanatory variables, and a vector autoregressive (VAR) process is used to derive the cross-equation restrictions, the system embodies explosive roots, which hardly can be reconciled with the typical features observed in most macroeconomic time series. This paper investigates the issue.
2007
L. Fanelli (2007). PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY. ECONOMETRIC THEORY, 23 (6), 1254-1260.
L. Fanelli
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/49372
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