A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if th...

Full description

Bibliographic Details
Published in:Econometrics
Main Author: Umberto Triacca
Format: Article
Language:English
Published: MDPI AG 2015-04-01
Subjects:
covariance matrix
Granger causality
time series
Online Access:http://www.mdpi.com/2225-1146/3/2/233

Internet

http://www.mdpi.com/2225-1146/3/2/233

Similar Items