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in many situations. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper …
Persistent link: https://www.econbiz.de/10005702583
This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with...
Persistent link: https://www.econbiz.de/10005702765