| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11041 |
| DP11041 Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness | |
| Fabio Canova | |
| 发表日期 | 2016-01-17 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Aggregation Non-fundamentalness Granger causality Small scale vars |
| URL | https://cepr.org/publications/dp11041 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539870 |
| 推荐引用方式 GB/T 7714 | Fabio Canova. DP11041 Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness. 2016. |
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