Present value relations, Granger non-causality and VAR stability

Luca Fanelli ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Granger non causality; Present value model; VAR (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2006-12
New Economics Papers: this item is included in nep-ecm
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https://mpra.ub.uni-muenchen.de/1642/1/MPRA_paper_1642.pdf original version (application/pdf)

Related works:
Journal Article: PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1642

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