State the null hypothesis of these granger causality tests

Reference no: EM133332210

Questions:

(a) I proceed to study the short-run dynamic of the changes in gold price (?LGPRICE) and inflation (INF) and estimated a VAR model. Write down the VAR(1) model using the notation ?LGPRICE and INF.

(b) Using the regression model in part (a), I performed the Granger causality test to determine the predictive power of INF on ?LGPRICE, and vice versa. State the null hypothesis of these Granger causality tests using the coefficients/parameters in the VAR specification.

Reference no: EM133332210

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