A large literature has used tests for Granger (1969) non-causality, GNC, to examine the interaction of military spending with the economy. Such tests answer a specific although quite limited question: can one reject the null hypothesis that one variable does not help predict another? If one can...

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

Se considera la estimacion y la inferencia de vectores autorregresivos en panel (VAP) con efectos fijos cuando la dimension temporal del panel es finita y la dimension de corte transversal es grande. Se propone un estimador de maxima verosimilitud (MV), basado en una funcion de verosimilitud...