To check the Granger Causality between X and Y, I am trying to build a Granger causality model. However, besides X and Y, I would like to include some control variables which can lead to different results. I am wondering if these control variables are required to affect both X and Y or not. It is possible if these control variables affect just one of them? Could you please give me some advice on my problem. I highly appreciate if you can share with me some related materials. Many thanks.
I am not sure what a control variable is, but someone has asked a similar question in the past.
https://www.researchgate.net/post/Can_anyone_help_me_in_applying_the_Granger_Causality_Test_in_Eviews_to_panel_data
Question: By control variables, do you mean boolean variables that trigger a mode change, i.e. variables which change the system behavior?
i hope this paper may help:
http://www.ijmlc.org/papers/419-LC006.pdf
we explain how to build a causal graphical model based on Granger causality using GeneticProgramming
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