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Hello,

I have an extremely basic question but its one i just want to confirm.

When I create a VAR I move to the estimation output page, which gives me the SE and t-statistics of the coefficients. What is the t-statistic testing? if it is significant, does that imply granger causality or that it is just a significant OLS estimator?

Thank for any help in advance.

Sam

Standard t-statistic for the null that the coefficient is equal to zero.

Just ignore t statistics and coefficients . That does not make sense usually. Researcher never report VAR equation results but some test such autocorrelation and lag length. You should care about impulse response function and variance decomposition. I you wanna test granger causailty, use F statistic instead t statistic.