Two way granger causality?
Posted: Wed Apr 20, 2011 6:46 am
Hi all
I'm testing for granger causality in my series using lag length=1(since i have annual data)
F-statistic Prob.
x does not Granger cause y 4.82073 0.0058
y does not Granger cause x 8.40347 0.0334
x does not Granger cause y2 4.89060 0.0322
y2 does not Granger cause x 8.39853 0.0058
does this mean that causality run both ways using 5% sig. level? or should I use a 1% significance level and interpret that causality runs from x to y and y2 only? will both interpretations be correct?
I'm testing for granger causality in my series using lag length=1(since i have annual data)
F-statistic Prob.
x does not Granger cause y 4.82073 0.0058
y does not Granger cause x 8.40347 0.0334
x does not Granger cause y2 4.89060 0.0322
y2 does not Granger cause x 8.39853 0.0058
does this mean that causality run both ways using 5% sig. level? or should I use a 1% significance level and interpret that causality runs from x to y and y2 only? will both interpretations be correct?