I would like to test two stationary time series (say a and b) for Granger Causality. I am familiar with the method of running two regressions:
And then using an F Test (I omitted the degrees of freedom):
Afterwards I do the same the other way around:
This would then tell me which of them Granger causes the other one.
How is a VAR different from this (or is the set up above basically already a VAR)?