Hello,

I have performed PVAR Granger causality tests on a (N23, T10) Panel. I have found that X granger-causes Y (which are stationary at first difference). I want to ask: How can I infer the sign of the relationship between X and Y?

I use three lags and can observe each of the coefficients of X for t-1, t-2, t-3. The coefficients have negative and positive signs. How can I discuss the direction/sign of the relationship between X and Y? Are impulse response functions the answer? I have not researched these thoroughly but they seem inappropriate for a panel with a short time series dimension. Any advice at all would be appreciated. Any broader points or things that I should be looking out for would be also welcome.