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Fundamentalness, Granger Causality and Aggregation

Author

Listed:
  • Mario Forni
  • Luca Gambetti
  • Luca Sala

Abstract

The testing procedure suggested in Canova and Sahneh (2018) is essentially the same as the one proposed in Forni and Gambetti (2014), the only one difference being the use of Geweke, Meese and Dent (1983) version of Sims (1972) test in place of a standard Granger causality test. The two procedures produce similar results, both for small and large samples, and perform remarkably well in detecting non-fundamentalness. Neither methods have anything to do with the problem of aggregation. A “structural aggregate model” does not exist.

Suggested Citation

  • Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    • Handle: RePEc:mod:recent:139
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    References listed on IDEAS

    as
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    3. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
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    10. Fabio Canova & Mehdi Hamidi Sahneh, 2018. "Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Nonfundamentalness," Journal of the European Economic Association, European Economic Association, vol. 16(4), pages 1069-1093.
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    More about this item

    Keywords

    Non-fundamentalness; Granger causality; aggregation; structural VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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