Am 23.10.2018 um 10:40 schrieb Riccardo (Jack) Lucchetti:

On Tue, 23 Oct 2018, Yusuf Abduwahab Hassan wrote:

can i add extra lags and interpret my results as using the Toda Yamamoto
approach to causality testing?

In fact, it's only a little bit more complicated than that: you have to add one lag and then carry out the test on the "true" parameter order. For example:

BTW, in the graphical interface you would probably just use OLS on the equation of interest, because there you can easily specify the test for omitting the first p lags. In the VAR GUI I don't see how one would do it.

cheers,
sven