EconPapers    
Economics at your fingertips  
 

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"

Abstract: 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
Date: 2018-11
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://155.185.68.2/campusone/web_dep/Recentpaper/recent-wp139.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mod:recent:139

Access Statistics for this paper

More papers in Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-10-17
Handle: RePEc:mod:recent:139