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We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005353062
economies, we provide existence (Markov Perfect Equilibrium in pure strategies), ergodicity, and welfare results. Also, we …
Persistent link: https://www.econbiz.de/10010616521