Granger Causality Test - an overview | ScienceDirect Topics

The Granger causality test is a statistical hypothesis test for determining whether one time series is useful in forecasting another. From: Vertical Specialization and Trade Surplus in China, 2013 Nicholas M. Odhiambo, ... Christian Tipoy, in Extending Financial Inclusion in Africa, 2019 The Granger-causality test was performed to examine the causal relationship between YGR and the different proxies for financial development. The test is conducted after a VECM estimation with the assumption of cointegration between variables. This allows testing for Granger-causality in both the short and the long run. Short-run causality is given by the chi-squared statistic, while long-run causality relies on the significance of the ECT. Table 3.4 presents Granger-causality results for all models (Models 1–3) for both French-speaking and English-speaking African country groups. Table 3.4. Granger-Causality Results for All Models. Note: Null hypothesis of ‘no Granger causality’ between dependent and i

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