I have two time series, X and Y. The number of observations in each time series is the same and the variables would be price(logged). The goal of my research is to analyze if one variable X follows the movement of another variable Y over time.

I know that Granger causality is the standard econometric way to test this kind of relationship. So I started to study this method but, before starting to test the method on my problem, I would like to become more comfortable with this first. But I have no data to practice... and I don't know them! Dou you know examples of price time series (commodities, but not only that) whose causality in well-known (in literature, among the practitioners etc)?

  • 1
    $\begingroup$ For example in stockmarkets (but probably also in Commodities) changes in prices Granger cause changes in volume traded, but changes in volume traded do not Granger cause changes in prices. $\endgroup$ – Alex C Mar 30 '19 at 19:38

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.