Fundamentalness, Granger Causality and Aggregation
Mario Forni (),
Luca Gambetti () and
Luca Sala ()
Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi"
The testing procedure suggested in Canova and Sahneh (2018) is essentially the same as the one proposed in Forni and Gambetti (2014), the only one difference being the use of Geweke, Meese and Dent (1983) version of Sims (1972) test in place of a standard Granger causality test. The two procedures produce similar results, both for small and large samples, and perform remarkably well in detecting non-fundamentalness. Neither methods have anything to do with the problem of aggregation. A “structural aggregate model” does not exist.
Keywords: Non-fundamentalness; Granger causality; aggregation; structural VAR (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:mod:recent:139
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