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- W3123251263 abstract "Non-fundamentalness arises when observables do not contain enough information to recover the vector of structural shocks. Using Granger causality tests, the literature suggested that many small scale VAR models are non-fundamental and thus not useful for business cycle analysis. We show that causality tests are problematic when VAR variables are cross sectionally aggregated or proxy for non-observables. We provide an alternative testing procedure, illustrate its properties with a Monte Carlo exercise, and reexamine the properties of two prototypical VAR models." @default.
- W3123251263 created "2021-02-01" @default.
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- W3123251263 date "2016-01-01" @default.
- W3123251263 modified "2023-09-27" @default.
- W3123251263 title "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness" @default.
- W3123251263 hasPublicationYear "2016" @default.
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