Apa itu Granger causality?

A series $X$ Granger-causes $Y$ if the past of $X$ improves the prediction of $Y$ beyond the past of $Y$ and of the other variables (Granger, 1969); in a VAR, if the coefficients of the lags of $X$ in $Y$’s equation are not all zero, tested by an $F$-statistic.