Recent Question/Assignment

Granger causality testFind 2 time series where it is not obvious which series “causes” which. Example:“The relationship between stock market trading volume and GDP” and set up thetest trying to identify which series is Granger causing the other. When you choosethe series remember that they need to have same resolution i.e. both be yearly, orboth be daily etc. You need to set up a number of lags in the models, use max 4lags.Remember to check whether series is stationary. Please present your data, present graphs of the series youwork with. Explain in detail what you do. Set up all the necessary hypotheses and collect evidence for their support, or lack of it. Please set all the auxiliary regressions in Ryourself, do not use ready codes for adf.test or Granger causality, instead run each additional model separately.