Granger Causality test after ARDL estimation
Posted: Wed Jan 03, 2018 8:57 am
Can i ask that after i obtain the output from ARDL, if i want to test for granger causality, is that i need to open the series as VECm, and then add the ECT, i.e. the CointEq equation from the output of ARDL, as exogeneous variable? or can i do directly following the result after ARDL?