In this note, we call attention to a popular mistake in the applied macroeconomics literature in Brazil - namely, the identification of VAR models based on the results of Granger causality tests.
VAR models; Granger causality; Identification
In this note, we call attention to a popular mistake in the applied macroeconomics literature in Brazil - namely, the identification of VAR models based on the results of Granger causality tests.
VAR models; Granger causality; Identification