[R] Granger casuality test in r

[John C Frain]

On Fri, 30 Nov 2018 at 14:40, Eneida Permeti via R-help <

The results of my Granger causality test in r are below. VARp is my VAR
model and I have two endogenous variables. From the results, I have only
instantaneous causality. What does it mean?Thank you so much

causality(VARp,cause="The.economic.growth")

$Granger
Granger causality H0: The.economic.growth do not Granger-cause
The.differenced.public.debt
data: VAR object VARp
F-Test = 0.4038, df1 = 6, df2 = 8, p-value = 0.8573
$Instant
H0: No instantaneous causality between: The.economic.growth and
The.differenced.public.debt
data: VAR object VARp
Chi-squared = 6.0964, df = 1, p-value = 0.01355

causality(VARp,cause="The.differenced.public.debt")

$Granger
Granger causality H0: The.differenced.public.debt do not Granger-cause
The.economic.growth
data: VAR object VARp
F-Test = 0.70214, df1 = 6, df2 = 8, p-value = 0.6572
$Instant
H0: No instantaneous causality between: The.differenced.public.debt and
The.economic.growth
data: VAR object VARp
Chi-squared = 6.0964, df = 1, p-value = 0.01355
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It appears that you have not found Granger causality. I would not be
surprised at this result.

You growth rate is almost equivalent to the log difference of GPD at
constant prices. (real GDP). I suspect that your
The.differenced.public.debt is at current prices and is not log
transformed.

Granger Causality requires you to control for other variables. For example
other variables may be causing both of your variables. If such is the case
your finding of Granger Causality may be spurious.

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