Granger causality test and Wald test

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sofp
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Joined: Mon Jul 04, 2016 2:48 pm

Granger causality test and Wald test

Postby sofp » Sat Jul 09, 2016 1:01 pm

Hi,

I'm running an unrestricted VAR and I was running some tests in order to verify the direction of the causality on how variables influence each other. In the first place I've implemented a Granger causality test, but I have some doubts about the Granger causality test and the Wald test. I don't understand the difference and I would like to know with one is better to implement.
Thank you.

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