Question: Let Yt (Y1t ,Y2t )0 be 21 and consider a VAR(2) model. Suppose Y2t does not Grangercause Y1t . What are the implications for

Let Yt Æ (Y1t ,Y2t )0 be 2£1 and consider a VAR(2) model. Suppose Y2t does not Grangercause Y1t . What are the implications for the VAR coefficient matrices A1 and A2?

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Let Yt (Y1t ,Y2t )0 be 21 and consider a VAR(2) model. Suppose Y2t does not Grangercause Y1t . What are the implications for the VAR coefficient matrices A1 and A2?

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