Hello ;
I have a simple VAR model with two variables, x and y.
After i run the VAR model , i check for Granger casuality.
The results indicate that
X Granger causes Y.
Y Granger causes X
Does that make sense? is it possible for two variables to Granger cause each other? Is that the same as saying that as simultaneity ?
Any references pointers greatly appreciated.
thanks
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