The Granger Causality Test

question 13

Multiple Choice

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.

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Definitions:

Standardized Residuals

Residuals normalized to have a mean of zero and a standard deviation of one, used in regression analysis to identify outliers.

Regression Equation

An equation that estimates the relationship between a dependent variable and one or more independent variables.

Predicted Values

These are values estimated based on a model, representing what is likely to happen under certain conditions according to that model.

Homoscedasticity

The condition where the variance of the residuals, or errors, in a regression model is constant across all levels of the independent variable.