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.
Forni, M., L., Gambetti e L., Sala. "Fundamentalness, Granger Causality and Aggregation" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2018.
Fundamentalness, Granger Causality and Aggregation
Forni, M.;Gambetti, L.;
2018
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.
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