Online Appendix to “Granger-Causal-Priority and Choice of Variables in Vector Autoregressions”
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چکیده
In the paper we use the set of models Ω defined in Definition 3 in Section 4. In Section 5.4 we also report findings conditional on the set of models Ω̃. In this online appendix we give the details of the exercise conditional on Ω̃. The motivation for this exercise is the following. The set of models Ω̃ is larger than the set of models Ω. In particular, Ω includes models with one Granger-noncausality relation, while Ω̃ includes models with multiple Granger-noncausality relations imposed simultaneously. We are curious whether “allowing for more zero restrictions” than in the set Ω leads to much better fit and a very different choice of variables.
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