Granger causality test and Wald test
Posted: 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.
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.