How does an Impulse Response function relate to Granger causality?
Is it not basically a visualization of what we measure with Granger causality? (see http://statsmodels.sourceforge.net/devel/vector_ar.html)
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1It's a pity nobody has answered this. Have you found the answer yourself yet? – Richard Hardy Aug 18 '15 at 16:40
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@RichardHardy this seems to shed some light on this question: http://monde.cirano.qc.ca/~dufourj/Web_Site/Dufour_Tessier_1993_EL_ImpulseResponseAnalysis.pdf – Lucas Farias Jun 01 '17 at 09:30
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@lucasfariaslf, the title looks very relevant indeed. Thanks for sharing! – Richard Hardy Jun 01 '17 at 10:47