The Granger Causality Test
A)uses the F-statistic to test the hypothesis that certain regressors have no predictive content for the dependent variable beyond that contained in the other regressors.
B)establishes the direction of causality (as used in common parlance)between X and Y in addition to correlation.
C)is a rather complicated test for statistical independence.
D)is a special case of the Augmented Dickey-Fuller test.

Question

Quizplus · Accepted Answer

The Granger Causality Test uses the F-statistic to test the hypothesis that certain regressors have no predictive content for the dependent variable beyond that contained in the other regressors. It does not establish the direction of causality or test for statistical independence, and it is not a special case of the Augmented Dickey-Fuller test.