Triacca, Umberto - In: Econometrics : open access journal 3 (2015) 2, pp. 233-239
It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...