Granger-causality tests
Granger-causality tests
Granger-causality tests
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is a two variable VAR model broken down into matrix form<br />
Note the matrices A are coefficients estimated by ordinary<br />
least squares<br />
Vector Autoregression –<br />
Captures the evolution and interdependencies between<br />
multiple time series – (Generalizes the Autoregressive<br />
model)<br />
K variables over sample period (t= 1, …, T)<br />
Y t is a k 1 vector<br />
c is a k 1 vector of constants<br />
A i is a k k matrix (for every i=1, …, p)<br />
e t is an error term<br />
For example:
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