Data di Pubblicazione:
2018
Citazione:
Forni, M., L., Gambetti e L., Sala. "Fundamentalness, Granger Causality and Aggregation" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2018.
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.
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.
Tipologia CRIS:
Working paper
Keywords:
Non-fundamentalness, Granger causality, aggregation, structural VAR
Elenco autori:
Forni, M.; Gambetti, L.; Sala, L.
Link alla scheda completa:
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